Hah, that kinda surprises me, I remember hearing about how it couldn't be aired on Adult Swim in the states because of all the cuts that would have to be made to allow it to suit american regulations; and whilst theres are somewhat different to ours, they're not WAY different.
Elfen Lied is a favourite of mine, simply because it doesn't shy away from a lot of hard and uncomfortable themes, and demonstrated to me quite seriously you could make an adult show, with heavy themes in the animated medium; and that sometimes anime doesn't shy away from themes or controversial topics that western studios and producers will.
Its by far and away not perfect, but it definately has a place in my favourites for helping open my eyes to the medium as a brand of story telling that can tell a perfectly adult story regardless of being animated.
I have the ADV singles release rather than the box set, unfortunately it was after ADV had already folded so my purchase didnt help them in that sense.
Shame I missed all those shows though; I've got Mezzo on my shelf waiting for a watch and I'm watching Planetes now, so sounds like I missed out when they were airing!