With the recent release of public MX16 beta firmware AnyConnect is supported as a client VPN on the MX!
AnyConnect VPN adds support for remote access (Client VPN) connections using the TLS protocol formerly known as SSL. This feature puts an end to the long wait for the support of a VPN Client software on the MX.
This feature also provides additional functionality and flexibility to Client VPN on the MX Appliance compared to the L2TP/IPsec Client VPN implementation. E.g. Split tunneling, Certificate-based authentication, Group policy assignment, etc.
For a LOT more info... more than I have time to post here... visit our documentation page for some lovely Wednesday night reading!