Gunslinger Girl is easily my favorite. It is very character driven, which I like, and the action isn't overdone. It's very psychological and questions human nature. The Gunslinger Girl manga is my favorite series even including good American comics like Supreme Power.
The anime was done quite nicely. It has good music that fits the eerie,dark atmosphere of the story, and I believe they captured Henrietta's and Rico's characters perfectly. However, they left out some aspects of the girls' personalities, especially Claes and to a lesser extent Triela, and most of the events involving Agelica are completely made up in the anime. The order of some episodes are messed up too and it only covers up to about Vol.2 of the manga. I prefer the manga because of the aforementioned reasons, but the anime is still good albeit short.