Do you know some mind-boggling anime?

definitely Death Note.

How about Another?
It's a mystery/horror anime
So it's confusing

You can try
Higurashi No Naku Koro Ni
Serial Experiments Lain
Le Portrait de Petite Cossette
Mahou Shoujo Madoka Magica (picture)

If you're feeling brave and don't mind gross-out psychological horror, try Paprika (It's by Satoshi Kon). xD It's... very disturbing, but mind boggling. Extremely mind boggling. XD;;