I'm going to try and keep this review from revealing too much. Chances are, you'll look at a few more, or you've probably already read the Amazon critique, and for that I must apologize. One of Ergo Proxy's main themes is the search for truth, and though I don't think spoilers will really ruin the viewing experience, I still see revealing major plot/setting points as a disservice to the series.
If you're looking for stylized anime where the characters shout out the names of their combat tactics and seemingly float in mid-air while rock music blares on in the background, look somewhere else. Ergo Proxy tries its hand at taking genres and twisting them around, but its mostly to infuse a sense of mythology that's in all of Earth's history. It's philosophical, self-searching, and subjective, in much the same way that David Lynch's films are, though Ergo Proxy does so with something much closer to a linear plot. It starts out as a science fiction thriller with a little bit of a noir feel to it, then tacks on the kind of inner monologues, supernatural monsters, fight scenes, and emotionally charged conflicts you expect to find in an anime. The difference is, I never felt that the show was being too cheesy. There are times that the characters can feel a bit melodramatic, nearly campy, but that's something that I've gotten used to seeing in anime (and it's handled a lot better here than in most places!).
The show's dark, often labyrinthine progression feels a lot like Paranoia Agent, where each episode seems repetitious, only Ergo Proxy is much more contained and comprehensible. It's full of satirical themes, philosophical wanderings, and it doesn't spend too much time babying you through the story. I read a review somewhere that called Ergo Proxy a puzzle, and I can see why someone would say that, though I'd argue that it's really a complicated, in-depth story that grows more and more surreal as it pedals toward a mythological conclusion. If you're a fan of Satoshi Kon's work, you'll be impressed with this layered piece of science fiction.