Elfen Lied is indeed a wonderfully scripted and beautifully animated graffic work of art and should rank as one of the best anime series to date. But in my opinion, Eureka 7 is a sadder anine when compared to Elfen Lied's darker storyline. Blood +, though also dark, has much more of a sad, tragic story. However, the Elfen Lied anime only touches a thrid of the original manga and it wouldn't be fair to judge it against animes with lenghy runs (such as Bleach or Naruto). So I feel it's safe to say that Elfen Lied is the best "Short" anime if compared to series such as: FLCL, Lucky Star, Eureka 7, and The Melancholy of Haruhi Suzumiya.
yeah it is one of the best animes iv ever seen its like joint first with FMA and Devil May cry. though it isnt the sadest iv ever seen, She, the ultimate weapon is the sadest anime iv ever seen and always will be coz its so many sad things all at once, u should watch it and ul understand what i mean lol