When i think of elfen lied i imideatly think of Deadman Wonderland and Mirai nikki.
I don't watch many series like that since i am a bit disgusted by blood.
But if you by chance haven't seen those 2, then i can highly recommend them! ;D
i think Higurashi no naku koro ni is like elfen lied. Im not that sure though cause i only saw a trailer of it but it looked interesting and might just be the thing you are looking for. ;)
Monster - One of my top favorites, great mystery drama. Very smart.
Higurashi no Naku Koro ni (When They Cry) - A great psychological murder mystery series.
There's a second season that explains a lot.
Now and Then, Here and There -
Very sad story. Kids are forced to become soldiers in the future.
Mushishi - My favorite anime.
It's a very surreal fantasy/drama.
The series is episodic, (each episode tells a different story), so some of the episodes may have a sad ending. It is highly recommended.
If you want me to send a link on where to watch them, just let me know.