To be honest, there aren't that many anime series that have full-blown lolita so much as "inspired" characters or outfits, or just super-girlified, ruffly outfits that have nothing to connect them to lolita at all.
Anime with lolitas: Paradise Kiss Nana (minor character) Panty & Stocking with Garterbelt (Stocking is supposed to be a lolita--the stylization makes it a bit iffy sometimes)
Anime with "inspired" looks: Virtually anything by CLAMP ever Le Portrait de Petit Cossette Princess Princess Tsukiuyomi Kuroshitsuji Umineko no Naku Koro ni