Paranoia Agent isn't supernatural horror. Finish it up and you'll know what I mean, but...(thematic spoilers that kinda spoil the rest of the show if you're not done) the supernatural horror idea is a red herring to lure viewers in, really. In reality it is a gigantic metaphor for the variety of effects that paranoia has on the psyche, how it is horrible for the mind yet absolutely necessary to maintain relative sanity, as everyone gets paranoid on ocassion.
For supernatural horror, you've got slim pickings for actual quality. Mostly Hell Girl, maybe Ghost Hunt. If you're interested in supernatural imagery interspersed in a psychological horror series, I'd recommend Ghost Hound, Paprika, or Perfect Blue. From this current season, for an eerie, slow, visually strange outing, I'd recommend Shin Sekai Yori.
Hell, really, I mentioned Perfect Blue and Paprika just now, but do yourself a favor and watch all of Satoshi Kon's work.