One of my all-time favorites has to be 'Berserk'. Guts, the protagonist, might not be a demon himself, but his journey is deeply intertwined with demonic entities, especially the God Hand. The series is dark, gritty, and unflinchingly brutal, with demons that are more than just mindless monsters—they represent the worst of human desires. The Eclipse arc still haunts me; it's one of those moments where you realize how terrifying and complex demonic lore can be in storytelling.
Another standout is 'Devilman Crybaby'. Akira Fudo's transformation into Devilman is both tragic and thrilling. The anime doesn't shy away from exploring the duality of humanity and demonhood, and the ending left me in a state of existential dread for days. The way it blends horror, action, and philosophical questions is masterful.