I watched many shows in my life, and I haven't had enough yet, i'm one of the veterans when it comes to anime and yet, even though I seen many seriously messed up shows, I'm not sure you can actually define 'DARK" in anime.
Many shows have one or more fatal momentum in their stories, for which we should be counting like HALF of the shows in fact, and there really IS NO PURE DARK anime out there, and the pure dark manga's are not being animated because they are too much to handle by stations, I mean, seriously, we would be watching black screen nearly all the time, no one would put up with that, and we already had that kind of treatment several times, with which the worst got received by Bakemonogatari in some episodes and Dead Man Wonderland also had plenty censoring.
Off the top of my head I would actually rank Higurashi as the most gruel and darkest when it comes to evil and dark mystery and fatal relations, however it being fragmented over several different arcs and several different realities, which was done perfectly and every other anime aiming to be this good will always fail because NOTHING can beat Higurashi's style. That show was simply perfect, i'm still hoping they will re-release season 1 and 2 on Blurays so I can splurge money on it
Second place would probably take Another, although it was done fairly hilariously from realistic point of view, and manga readers claim it was pretty damn butchered, it's still fairly gory and bloody and a lot of death warrants, with an enigmatic mystery behind it all.
Third place would be taken by Elfen Lied, although the manga was much better, the anime isn't any worse, it just swung a little differently, but the ending result was similarly well received, although the actual ending scene is shunned by manga fans. For obvious reasons.
Fourth place would land on Saikano, yes, you see it right, Saikano does have it's darkness but it's not actually all that dark when you think about it, the story is cruel indeed, but there isn't that much darkness in fact. Great story makes it an incredibly well designed show, and it would have sold like fresh buns if it was re-released on BluRays.
A lot of you will not likely agree with the fifth place, but I make my own list and you make your own.
Fifth place i'm willing to give to Tokyo Magnitude 8.0, while not being as dark as it would seem to be, it does have it fatal momentum more than once, and the ending delivers a pretty tragic truth.
Following in the same pattern i'd give a branch of 5.1-5.5 places to some otehr Anime Movies that also quallify to this pattern, like Grave of the Fireflies, Kuro and similar ones.
Sixth place would probably land on Highschool of the dead, although not entirely cruel and dark, it's pretty damn bloody and of course, it's probably one of the best zombie anime I have seen, even though the manga is so much better. The anime still rides the manga fairly well, with a few changes but nothing major if you didn't read the manga in the first place so you can actually enjoy the show. Although the show doesn't finish with the manga. I think it was half the manga that was animated.
If you also count some cruel story, but not entirely gory or bloody, I would also recommend Valkyria Chronicles and FSN/FSN UBW and Fate ZERO(currently airing) which have some dark stories and sad or cruel stories. For FSN you might want to consider playing the game first before watching anything though, ask Tatsujin for link via PM.
there is also a pretty damn messed up Mahou Shoujo Magica Madoka, although it's cruel but not all that dark, it's pretty good though. Not gory or bloody though.
And if you like to think a lot, watch Panty & Stocking with Garterbelt, even though you will laugh most of the time, the actual story behind those sisters is what's really dark, but I think the studio just trolled us by making only season 1 and not even considering doing season 2 at all, damned teasers, and S2 would probably delve deep into the sisters history. Oh well, HATE YOU!
As I have said, there is really no PURE Dark anime out there, technically, some Hentai Anime's are far darker than most normal anime get. If you want to be entertained by pure dark stories then stay with manga's as like I said, those will never get animated.
I could probably name a lot more but those that have been also mentioned in this thread are a good choice as well, what I listed is my top list in this regard.
