The show begins with a timid and quiet artist, who was under deadline pressures to create some new, cute mascot. She is assaulted while walking home in the middle of the night after her stressful day. She reveals to investigators that it was done by a young boy on inline skates, who wields a golden bat and is nicknamed "Li'l Slugger".
What follows is madness, as similar incidents occur everywhere and grow in violence and frequency. At the same time, a cute and soothing TV show involving the artist's older creation, a cute puppy-like mascot named Maromi experiences a strange growth in popularity. If that show-within-the-show's message could be summed up, it would be, "Don't worry about it!"
The general theme of Paranoia Agent is something like anti-escapism, or dealing with reality. Anime, and some of the culture around it (such as the adulation of Cute things), has earned itself a bit of bad press as enabling people to not deal with reality or grow up. By extension, some see its popularity, and the kinds of content it often has to offer, as a sign of a culture that refuses to grow up, such that they feel a need to soften reality by coating it with anime and cute things. Some have taken to referring to the show as an "anti-anime" because of this core sentiment. All of this isn't to say that the producer of the show thinks reality is nice or good. If anything, for most of the characters in Paranoia Agent reality is awful, harsh, and dark, and so the desire to escape it is quiet understandible. But it needs to be dealt with anyway because the alternative is even less healthy, or even implies simply embracing suicide. The refusal to deal with reality, denial of the need for any growing up, and the refusal to take responsibility for their lives isn’t available to anyone as a serious option.
The end of the show delivers this message to the viewer in a manner similar to… well…
Tldr: A commercial artist inadvertently starts a hysteria.