I was fortunate enough to see Paprika on the big screen, which only makes Kon's work even more impressive. The way he leads us by the hand into a character's descent into madness is sort of dizzying, and always satisfying.
I'd have to say my favorites are definitely Perfect Blue (a great mix of suspense and manic terror) and Paprika (begins with a sort of ethereal, fairylike quality and quickly becomes a schizophrenic nightmare). The only complaint I have about either of these is the endings:
click to show spoiler
Everything wrapped up a little too neatly, too much of a happy ending.