The the fight scene with the guns is pretty awesome. I also like the twist at the end where Homura turns evil and "steals God" so to speak. Madoka isn't all that gory so much, but the dialogue/story is interesting, more so than most anime series (which tend to be overly predictable and weak on dialogue). It's kind of like Steins:Gate in that it's more cerebral than brutal.
As far as Psycho Pass... mmm, to a certain extent. The first season was by far the best I think, but the 2nd and 3rd season (and the movie) are worth watching I think. At least if you enjoyed season one. If you didn't like season one I'd say to just dump it.
Laughing Salesman is the anime version of Steven King's Needful Things... or any version of The Monkey's Paw... or The Outer Limits... or The Twilight Zone. Supposedly the 2nd and 3rd season (of the original) is better than the first. I haven't seen the new version at all, but apparently everyone hated it (although that's not surprising since it's not isekai/waifu trash).
It's also episodic rather than being a serial, so it doesn't really have any kind of "story" so much.
You might want to check this out...
I've only seen the first episode, been meaning to watch the rest, but it starts off awesome. Like most of the first episode is like this happy/goofy sort of fantasy world setup, sort of like Black Clover... and then near the end of the episode it just goes 38 shades of fucked up with these assassins and this group of psychopaths that's been luring in random victims and torturing them to death, including the main protagonists childhood friend. Not sure if it keeps up that same pace or not, but it might be worth checking out.
Caligula is sort of interesting...
Sort of a Matrix type theme with a kind of Monkey's Paw angle (be careful what you wish for)... but it's also a bit disappointing because they could have made the whole thing a LOT darker than they did. It's like PG mind fucks that leave you longing for something more mature.
You also might like Angels of Death...
If you want the most incredible disappointment in anime possible though check this out...
First episode was fuckin amazing... and then it just turns into an absolute fuckin dumpster fire.
I've also heard Ninja Scroll is really good...
Kinda old school tho, from 1993. Sort of a brutal/horror samurai fantasy type genre.
Oh, oh shi- I just remembered... there's that one anime with a bunch of girls with really brightly colored rainbow hair and it turns all psychotic and crazy 'n shit, uh... *searches*
Higurashi no Naku Koro ni (When They Cry)
It's like a murder mystery that goes all crazy psycho... not just the characters, but the plot too, it's just a crazy psychopathic mess on every level. The story goes as crazy as the characters do.
Also Dead Man Wonderland... I didn't really like it that much, but it's pretty sick and twisted all around. If you really liked Psycho Pass you'll most likely enjoy it though.
Let's see, what else... oh Danganronpa, it's another one of those "death game" anime series that was real popular a few years back (before isekai become the big thing). Corpse Party was another in that genre. Also King's Game.
Umineko has some pretty good mind fucks in it...
But I didn't really like it all that much personally. It's sort of a murder mystery type thing but there's a LOT of tedious, long, drawn out exposition and monologuing.
This might be good...
It's on my list of stuff to watch.
There's Death Note, but I assume you've probably already seen that.
This might be good...
Oh, Gantz, you'll like this...
Also I mentioned it before, but Future Diary and Big Order are both worth checking out. Not the most brutal stuff, but interesting stories/characters, especially the "psychotic waifu" aspects...
(on a side note; watching AMVs as previews is a good way to tell if you might like a series)
Lastly, definitely watch Fate/Zero... it's gory, has some absolutely amazeballs fights and some of the most incredible mind fucks, like when Blue Beard is first summoned by this serial killer teen.
Might want to watch Fate/Stay Night: Unlimited Blade Works first... but... well I guess it doesn't technically matter... Fate/Zero is basically the prequel.