Elfen Lied is nothing to write home about. Its pretty much a bunch of kawaii ^_^ girls killing each other, lots of blood, gore and tits. A fanservice anime for 16yo who are tired of Naruto. Yes it is dark and gruesome, but not thought provoking or intelligent to any extent.
Paranoia Agent, on the other hand, does not have tits or blood or moe-moe girls with tentacles, but despite (or because) of this it is far superior anime.
If you saw Perfect Blue and liked it - watch everything by Ken. Some of his movies are more to a gentle side (Millenium actress) some have more comedy elements (Tokyo Godfathers), others are fuckwatishapening kind of anime (Paprika), but they are all masterpieces. And yes, Paranoia Agent is one of them.