In Mass Effect 3, did you have Shepard "dance" with James Vega? If you did, you learned a little bit about Vega's backstory as well as why he loathes the Collectors as much as he does, not to mention, why he harbors a little anger and envy toward Shepard. Mass Effect: Paragon Lost tells this exact tale.
The animé starts with Vega as a member of an Alliance team consisting of your typical Mass Effect classes: soldiers, a vanguard, an infiltrator, and an engineer. The team has been sent to a colony to save it from an attacking band of the Blood Pack gang, and upon saving them in stellar Mass Effect fashion—I loved the engineer sending the AI bots to annoy the krogan—the team is assigned a new leader (Vega) and ordered to stay with the colony and protect it from further attacks.
All is well for a couple of years (right before Shepard returned to the land of the living, in fact) when the Collectors decide to pay the little colony a visit. Everyone who has played Mass Effect 2 knows exactly what that entails.
Yes, there is a reason why it is called Paragon Lost, and yes, it does have to do with a life-altering decision Vega has to make. In other words, it's oh-so-very Mass Effect.
You don't have to be as die-hard of a Mass Effect fan as I am or even an animé fan to enjoy Paragon Lost. If you liked Mass Effect at all, the ending to Mass Effect 3 aside, then you will enjoy Paragon Lost. It's out now on Blu-Ray and DVD, and it's not that expensive compared to most other animés on the market.
A word to the wise, however: Do not watch this movie in front of your young kids, even though it's a cartoon. The f-bomb gets dropped more than once, and the violence is at times quite disturbing.