Well, if you're fine with them shifting in and out of the other world...
Persona 3 the Movie: Spring of Birth
Actually just finished this last night. People with a certain potential shift into a twisted version of the world covered in random puddles of blood where a gigantic tower appears, taking place for an hour at midnight, and normal people either transmogrify into coffins, or are reduced to a mindless husk by demonic entities.
Persona 4 the Animation
The characters frequently go into another realm that mirrors human psyches and reveals to them a twisted version of themselves that embodies the negativity in their hearts and minds.
There's also a pseudo-remake/sidestory to P4 called Persona 4 The Golden Animation, but it's only a few episodes in (although it seems to boast a much higher budget than the initial P4 anime, and has the same director as Spring of Birth.