Ghost Hound. Monster. Mind Game. Ergo Proxy. Kaiji. Ghost in the Shell (the movie, though TV is good, it's not too psychological). Higurashi is, surprisingly, dark and psychological. Satoshi Kon movies. Trapeze (Kuchu Buranko) is pretty psychological, not really dark though. Welcome the NHK is awesome too, sorta in a similar boat with Trapeze. Aoi Bungaku/Blue Literature has some great stories in it, especially No Longer Human -- all will mess with you in some aspect, especially the No Longer Human story.I need something that involves some nice dark psychological stuff. So far no anime has really delivered in mind screw.
^ in no particular order. Watch Satoshi Kon stuff though, if you haven't -- those really mess with you more than anything.
Production I.G and Madhouse will be your friends, a lot of their stuff has dark, psychological themes.