Kinos Journey - Is there any underlying point to the stories, any unifying concept? Perhaps. It could be seen as an extended lesson in the law of unintended consequences.
H. L. Mencken said, there is always an easy solution to every human problem: neat, plausible, and wrong. That is really the theme of this series. Each place that Kino visits, there was a problem which was solved by adoption of a solution which was neat and plausible and far too simplistic. And in each case we eventually learn why the chosen solution was wrong.
Rosario + Vampire has a few. True Companions are a great thing to have when going through the bad times. Nothing is always what it seems. Love can still be strong even if it is only platonic. Love is also about putting others above your own needs.
Serial Experiments Lain is at is core, an exploration of the impact of the information age on the human soul. At a time when the internet was only just getting off, it foretold a future where Everything is Connected. It explores the concept of a Technological singularity, "Close the World, Open the Next"
Neon Genesis Evangelion is a 26 episode critique of the Otaku lifestyle and deconstruction of the conventions of Humongous Mecha anime, while ironically setting new conventions to replace the old.
Responsibility and how people deal with it.
Love is also a major theme; all the characters are motivated by a desire to love, and be loved in return.
Interpersonal relationships in general, how people unavoidably hurt each-other through them and why one still shouldn't try to run away from them. This includes the above mentioned themes of responsibility and love.
Voices of a Distant Star - Does physical distance matter for two people in love? What if she's in another city? Country? Continent? Star System? Einstein said "The great distances between the stars is nothing compared to the infinite distance between human hearts", and this movie tries to prove him dead wrong.
Monster - Can any human being be considered a monster, beyond redemption? Is it wrong to take a life, even to save others? It explores these questions right to the logical conclusion, then leaves it to the viewer to figure it out.
Cowboy Bebop - You can never outrun your past. Even the Spoof Aesop from episode 10 works into this concept. 'Don't leave things in the fridge', if you're curious.
Cowboy Bebop, The Big O, Karas and Tiger & Bunny all seems to have the same central message - you can live neither by clinging to the past, nor rejecting it to blindly march towards the future. Each explores it in a different way - in Karas it takes form of conflict between tradition and progress; in Tiger & Bunny it's the clash between different brands of heroism with new ones claiming the old to be outdated as well as Barnaby's breakdown once he finds out his memories are fake; in Cowboy Bebop it's contrast between Spike's inability to let go of his revenge, Jet's ability to confront and deal with his, and Faye's problems with amnesia; and in The Big O it's constantly showing that even disconnected from his past, man will still build on his future on it's legacy. Apart from that, some of them have additional central themes they explore:
Karas - the relationship between The Cowl archetype and the city he protects.
Tiger & Bunny - relationships between co-workers. Racism can be defeated.
Sonic X - While there is no real overarching theme, in the first season one message conveyed seems to be that friendship can last forever, even if two friends are apart.
Dragon Ball Z - The series gets a lot of flak for its Sorting Algorithm of Evil, but Self Improvement IS the main theme of the series. "Just because you can blow up a planet, you shouldn't declare yourself perfect; there is always someone out there better, so never stop trying to better yourself.`
Revolutionary Girl Utena: Is it possible to be both an archetypal prince and female at the same time? Can someone like Utena who wants to be a "prince" also yearn for her own prince without contradicting herself?
Naruto - It starts out seeming like a straight To Be a Master series but later two major themes emerge: "No matter how much pain you endure, things will get better if you don't turn your back on the world" and "Your family's legacy will always be a part of you". With the second in mind it also deals heavily with the Cycle of Revenge, which can only be broken through the first theme. Most evil characters have had terrible pasts and wish to either get revenge, run away, or restart the world from scratch, and Naruto redeems them because too has had a terrible past but his drive and love have seen him through to brighter days. Oh and he is well on his way to being a master after all because of it.
Blood+ - Family is made up of people who love each other in spite of their faults, not blood relations.
Chrono Crusade - According to Word Of God, "the idea of time running out." The bonds between people also seems to be a major running theme (Moriyama indicated in an interview that he felt that one of the themes was the relationship of the two main characters, and there's three pairs of siblings that are very important to the plot.)
Outlaw Star - Summed up in the opening dialogues of each episode, and the series as a whole in the second episode and in the great Toonami promo Dreams. In short, there's a whole universe of possibilities, opportunity, and adventure waiting for you to fulfill your dreams. You can't let your fear stop you from pursuing those dreams. Going on this journey, to fulfill childhood dreams, is a necessary part of becoming an adult.
''A boy has the right to dream. There are endless possibilities stretched out before him. What awaits him down the path, he will then have to choose. The boy doesn’t always know. At some point the boy becomes an adult and learns what he is able to become. Joy and sadness forever will accompany this. He is confronted with a choice. When this happens as he bids his past farewell in his heart. Once a boy becomes an adult he can no longer go back to being a boy. The boy is now a man. Only one thing can be said, “A boy has the right to dream.” For those endless possibilities are stretched out before him. We must always remember, all men where once boys…"
In addition to that, there is also the theme of freedom, of being independent from any larger group or entity, which is what it means to be an outlaw within the universe of the show. Gene Starwind and his crew's loyalty are only to each other as they deal with both planetary governments and pirate guilds.
Trigun is about the plausibility of true pacifism, especially in a very harsh and inhospitable world. This is best exemplified by the analogy in the anime of a butterfly caught in a spider's web: the Plants, a race of engineered Winged Humanoids represent the butterflies, as they are enslaved by the humans in order to make the planet habitable. Knives' plan is to wipe out the humans/spiders and save the Plants/butterflies, whereas Vash's hope is to come up with an alternative that allows everyone to coexist.
Mobile Suit Gundam: War Is Hell. There are good people on both sides of a conflict. People can't just sit on the sidelines during war. Tyranny and hatred must be fought by compassion. There can be no real peace without understanding. Many of the series both in the Universal Century and Alternate Universes tackle most of these themes.
Haruhi Suzumiya: Every day is an adventure as long as you are with friends.
Welcome to the NHK: It's easy to feel lonely and worthless but it doesn't have to be that way.
Just surviving and actually living aren't the same thing, and to do the former is as good as being dead.
Kindaichi Case Files: The central theme varies between volumes but the main one that stretches around the entire series is no matter how someone has wronged you in the most horrific way possible, murder is never the solution.
Giant Robo: The Day The Earth Stood Still - Can happiness be achieved without sacrifice? How can a son honor his father's legacy?