Ah, D.Gray... <3 So I guess you like dark'ish anime with some action, but also an overarching plot? : ) I think I like you. xD
Anyway, I'd like to recommend the currently running Shoujo Shuumatsu Ryokou (defnitely dreamy and melancholic despite the art style), an episodic story. A manga version can also be found. Also, if you really don't mind that the anime lacks a little something while doing something else really well, I could suggest you try Otome Youkai Zakuro.
Also, if you might stretch your comfort zone a little, there's two magical girl animes, namely the classic Mahou Shoujo Madoca Magica and it's surrounding material, and a newer and different take on magical girls with a darker twist, Yuuki Yuuna wa Yuusha de Aru (and it's sequel-prequel Yuuki Yuuna wa Yuusha de Aru: Yuusha no Shou).
I hope you find something! And if it's really, really good, PM me about it, too, because I could always use another good anime~ :3