Tragic sad anime but with action?

I don't do this often, but for the genre you're looking for I honestly recommend you look at anything [adult swim] has aired, which has been predominately action series (which exception of FLCL and Shin-chan), particularly series with character deaths. Since you liked Kenshin, I'll add to what I said about [adult swim] and recommend Blood+ for you, since it has action, horror, tragedy, romance, and the like. But I've definitely noticed that [adult swim] tends to air series which feature character deaths, so I'd recommend looking at that.