I would have to say my all time favorite is Eureka 7, followed by Clannad. What's yours?
edit 1: holy crap over 1000 replies! I see we have tons of otakus here. Haha! Keep it up!
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Deathnote. It was so interesting and clever, the mind games between the two main characters kept me hooked til the end. And only two seasons, which was the perfect length for me. Short enough so it never bored me and it didn't have any filler, but just long enough to through plenty of twists at you. Definitely worth a watch if you've never seen it. Watch a couple episodes and you'll be hooked.