I can't remember when I watched it, but I know it was an OVA (Original video animation), something of an indie.
The girl had a "pet" alien that could transform into absolutely anything. I believe her hair stuck up whenever she'd command it to do something/transform into something. The characters also looked pretty normal, no candy coloured hair from what I can remember.
It ended with a fight with the government or something like that.
I also remember that the anime was incomplete, and that it is going to have a follow up at some point. EDIT: found it, called Cencoroll