This is the best anime I've seen since Evangellion. Like Eva, it is difficult to talk about this anime without giving away spoilers. Sorry if my review is a little cryptic, but I don't want to spoil the show for anyone.
For anime fans out there, if you like Eva and Serial Experiments: Lain, then you should like Paranoia Agent. It reminds me a lot of Lain, except with a better thought out plot and conclusion. It reminds me of Eva because there is so much symbolism that this is a show that you'll be able to watch many times and still not catch everything.
On the surface, the show is about an inline skater who hits helpless people on the head with his crooked golden baseball bat. Soon Tokyo, and then Japan, become fearful and fascinated with the assailer. Beneath the surface, the show is about paranoia. It's about the pressure of modern life, and the mythologies we build for ourselves. It's about distinguishing between victimizing and being victimized. It's about the excuses we make for our actions. It's about being trapped when our fantasy and reality come into conflict with each other. That's about as much as I can say without spoiling the show for you.
Paranoia Agent is not a show for everyone. The themes and storylines are very adult. This is a heavy show. It can almost be excruciating at time, with the stress and paranoia it tries to instill in the viewer. Some episodes deal with issues like prostitution and suicide (in other words, this isn't a show for kids). At the same time, P.A. has its lighthearted and dark comedic moments. Still, Maromi, the big headed pink dog, is just plane creepy.
If you enjoy intelligent and challenging entertainment, then please watch this show. I only listened to the Japanese language track with subtitles, so I can't tell you if the English dub is any good. The animation is gorgeous.