I'd recommend the Bubblegum Crisis OVA and its sequel Bubblegum Crash. They are fairly old (late 80's and early 90's) but they're both really good (particularly Crisis), and they're on boxtorrents unlike the 2040 series (which is licensed by ADV I believe) which I'm still yet to see...
.hack//sign is quite good as mentioned above, though it doesn't cater to everyones tastes...if you want a lot of action you'd be looking at the wrong show...but storywise its pretty good. I prefer .hack//dusk to sign as its a lot livelier (plus I got into .hack in the first place through the dusk manga).
Samurai Deeper Kyo is pretty good too. http://www.animenfo.com/animetitle,9...i_deeper_.html
Another pretty old (but quite gory so if you don't like violence then its probably not for you) but really good anime is Ushio and Tora which is dead funny and full of action http://www.animenfo.com/animetitle,4..._and_tora.html