Someone's gotta say it: Urusei Yatsura.
Yes, it's awesome/bad. And old. And poorly animated.
But the 2nd and 4th movies were directed by Mamoru Oshii, and I have yet to dislike (or failed to be delightfully enraptured by) anything he's done.
Other stuff others haven't mentioned.
Dagger of Kamui. Old school historical ninja epic. Very good.
M.D. Geist 1 & 2. GRIMDARK
Genocyber. See also, M.D. Geist.
Devil Lady. Supernatural drama/horror series. Starts slow, redeems itself later. Might make a terrific campaign setting.
Hades Project Zeorymer. Three episodes of solidly black-on-grey mecha action. Sort of like the meaner, blacker-souled grandfather of Neon Genesis Evangelion.
Gal Force. Quality varies, but the original series wasn't bad. Hasn't aged great, but inspires some warm and fuzzies anyway. An early work of Kenichi Sonoda.
Grenadier. I actually feel bad about forgetting this. It's cheerful, it's surprisingly enjoyable, it's not porn -it's Grenadier! A little long on fanservice but with some remarkably likeable characters.
There's surely more, but not that I recall offhand.
Note: The Wings Of Honneamise
I thought this to be greatly overrated. But I liked Akira (Kaori wasn't a bastard), so there ya go.