WTF as in, "wow, unexpected" or WTF as in "You got to be joking!" ?
Guilty Crown is one, not so much for cleverness as for randomness, it shows that they were just throwing random stuff into the plot, and then they somewhat tried to connect it with random explanations, poorly. A shame, I still liked it.
11eyes. I did long ago read the eroge with the same name (for the plot, obviously), when the anime came out, the plot was not even similar, and the end made no sense. It felt as if they wanted the main antagonist to be trapped (as opposed to the novel, in which Kakeru stabs and kills Liselotte) in hopes for a second season, or something. WTF defines it quite well.
Mawaru Penguindrum, this one was a truly unpredictable anime, the end has way too many implications, and very few explanations.
Angel Beats, for sure. The fact Otonashi's heart prolongued Kanade's life (I say prolongued, since to be there she obviously had to die) doesn't necessarily makes sense if they arrive to that place in order. Kanade was there way before Otonashi, after all. Jun Maeda...
Boku wa Tomodachi ga Sukunai & Denpa Onna to Seishun Otoko have literally NO ENDING
...I could go on forever, but that would be a lot of black bars.