>Have they actually *watched* any of the shows?  You might 
>want to try showing them things aimed at more mature groups,

This is actually how I convinced my mom that anime is an 
ART FORM and got my dad to stop complaining. ^_^

I chose to go with "Hotaru no Haka" (Grave of the Fireflies), 
and it worked like a charm (thank you, Takahata/Ghibli!). 

Frankly, this film is about as depressing and mature as 
one can get without any violence and action that can actually 
*get in the way* of an analytical viewing (they were VERY 
quick to dismiss Eva when my brother tried showing it to them).
Never use a long series to try to convert a true skeptic, at 
least that's what I've learned. If you can't do it in a film 
or a few episodes, there's no hope, or you've screwed up and 
then there's no hope.

Cels are another issue -_-'

I'm not sure if you mentioned this, but are you spending 
YOUR money (i.e. job money)? This can make a big difference.

Anyway - I haven't figured out myself how to explain this 
to my own parents, so I can't help specifically, although 
many people have suggested the PO Box, and that seems to be 
the most logical answer if you don't want to try to convert 
them or draw this out any longer - although trying a different 
tack as others have also suggested is worth a try. 

Again, good luck ..