I enjoyed Madoka Magica a whole lot, but it certainly isn't a show I would recommend to a whole lot of people (even people who're big into anime).
I certainly enjoyed watching the show a second time a whole lot more, but only because I was more familiar with the writer at that point. Besides the whole deconstruction of the magical girl trope thing it has going on, it's mostly a show in which Gen 'Urobutcher' Urobotchi is playing around whith expectations.
Most people when looking for a new show to watch will give it three episodes and move on if there is nothing there that interested them. He purposefully made it so that those people would drop the show before it got to the good parts. Gen also just likes to shock people a whole lot, so there's that. The pacing is poor and won't make any sense untill you've watched the final episode and Madoka, while being the official main character, mostly just cries a lot and is only there so the side characters have a reason for being there as well. She's a very videogame-y protagonist in that she serves as an analouge through which the viewer can experience and learn about the world and it's other characters ("Who are you? What is this shit? Why is this happening? What the fuck is going on?") without being really all that important herself.
I would hartily reccomend any of Gen Urobochi's other show's over Madoka Magica as I think he's a very good writer with a sadistic penchant for killing off a lot of his cast.
Black Lagoon is a show about a man embodying the sentiment of "Fuck it.". Also lot's of shooting and cool action babes.
Fate/Zero is a much darker and more mature prequel to the fairly light Fate/Stay Night (can't speak for the F/SN visual novels, haven't touched those).
Psycho Pass is a very topical modern masterpiece tackling societal problems, emotional repression, philosphy, fear, trauma and nostalgia wrapped in an interesting, western media inspired, cyberpunk setting.
Also, update on Vagabond. Shit's amazing yo! Still! Nearly 70 chapters in and it's. still. getting. better. There are two concurrent fights which last around 20(!!) chapters total and each page is more hype than the next one. It's everything that you wish Dragon Ball would have been. Even people not actually fighting, but just watching each other, waiting for the perfect moment to strike is FUCKING INTENSE. I love it. The pacing is just absolutely parfekt and the writing is sublime!