If you're interested in philosophy and the afterlife try Haibane Renme. Not a lot of action, but a good series, and the ending will surprise you....

I'd like to second Lain (excellent exploration of technophobia) and Monster (my current favorite) and why hasn't anyone mentioned Trigun? If you liked Gungrave you will like Trigun (from the same group). Oh, and Ghost in the Shell: Stand Alone Complex.

For movies rent Spirited Away and Princess Mononoke, both excellent.