I will second Ergo Proxy.
It is a little hard to follow, and it tries a little too hard to be deep and dark, but it's still very good when taken at face value for what it is.
I will second Black Lagoon.
It's more light-hearted, but it's hard to get more mature than a series that is centered around a mercenary group in the south China sea. Very philosophical at times.
I'm not sure about Elfen Lied. I mean, yeah it's mature... if you measure maturity in gallons of blood. But I guess it was pretty good all in all. Manga's better... sometimes.
Someone mentioned Gungrave. That was awesome... for the flashback episodes. When it got back to the main timeline near the last few episodes, it started to suck.
If by "mature themes" you meant something more thoughtful, how about giving something less action based a try? There's plenty of slice of life series out there that aren't comedy or romance driven for the most part. I prefer to call them, "nothing happens" series. They're actually my favorites. Maybe I'm just boring.