The Melancholy of Haruhi Suzumiya is the most recent anime I've watched.

In fourteen episodes, it tells the story of a girl who wants something unique to happen in her life. She wishes to meet three specific types of people in her life -- a time-traveller, an alien, and an esper. Meanwhile, three of her best friends are a time-traveller, an alien, and an esper, but they never reveal their true identities to her because they think she might be God, and they believe that God's perceptions of the universe are what hold the universe together. So they don't want her perception of the world to make a drastic change from the rational things which make sense, to a perception of the world in which such oddities are commonplace, becuase then those oddities would become commonplace without enough rules to govern them ... and then there would be anarchy and chaos ... or so they assume. So throughout the entire fourteen episodes, she never learns the truth about her friends, but they have some fun times together, and it's a worthwhile show to watch ... even though I've just spoiled the main point ... lol ... but it doesn't matter that I've spoiled anything ... as you'll see by the unique way this series was aired.

The episodes were aired in the wrong order so that the audience would think rather than just watch.  The episodes are also numbered wrongly. It's a perfectly logical story even in the wrong order.  You can watch the episodes in the order which tells the story chronologically, and it's more like a regular series that way.

Two great episodes stand out above the rest.  

One episode is an independant film which was made by the main characters; that one is totally hilarious

The final episode (chronologically) is about a trek through the rain to get a heater from an electronics store.  Nothing and everything happens in that episode

I give that series a strong recommendation.