Well if you haven't seen it already Neon Genesis Evangelion is a MUST SEE!
Other than that the Kenshin OAV's, OVA's whatever! =)~ are amazing.
More recently though Hellsing, 'specially if you enjoy vampires like I do.
Ninja Scroll is also pretty sweet, the original one that is =).
I didn't name Eva (even though it's my absolute favorite) simply because it's not really an action anime. By the end of the series it's a total mindjob, but that's what makes it good. If you want something that'll make you think, Evangelion is the way to go...but if you just want straight-out action, you'd probably be better off with something else.
Initial D is a great anime, its what really got me into cars. The show actually has some educational value as well. I have seen all of the series and the movies, although the last movie I saw was all in japanese, no subs so I did not understand much. Its going to start coming out on dvd this September.