My absolute, ABSOLUTE favorite anime? Jeez, why did you make me have to be torn like this?
There's two that are REALLY high up there, shows I watched and loved every second of and left me satisfied.
The first of which being Fafner in the Azure: Dead Agressor.
The other being Betterman.
These two shows have a lot of fundamental similarities in how their stories were written and played out. Characters are introduced at a rapid pace and yet have considerable depth, there are a lot of colorful twists that throw your expectations off, and they both give neither an entirely happy nor entirely depressing ending. Instead the stories ended with a sense of "life will go on" for those that survived (both series also kill off a number of people), bittersweet at best but at the same time having an air of hopefulness about them.
They are both acquired tastes, to be honest. Betterman has a weird way of addressing whatever crazy shenanigans happen by waiting until the next episode for an explanation and Fafner does seem to be just an Evangelion rip-off until you get to the second episode. But they're the last two series that I watched that left me completely and genuinely satisfied.
... Although at this rate Kamen Rider Double (YES I KNOW IT'S LIVE ACTION!) could become the next.