 If you liked
Serial Experiments Lain
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 ...then you might like
Gilgamesh
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Both are very philosophical and discuss meaning of life from a very unusual perspective. Both use a lot of symbolism, have story lines that similarly reveal a little information step by step keeping the most important to very end. The title structure is similar in a way that it involves terms defined by the anime.
Ah yes, most importantly, they both are very much based on historical facts.
Finally, the last similarity is that you have to read a lot to fully understand the anime. For Gilgamesh - The Epic of Gilgamesh, for Lain - the history of computer science and some other things.
I would indeed recommend
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