Come to think of, there is another Playstation action RPG called "Legacy of Kain: Blood Omen". As I understand it, the player is a vampire seeking revenge, and the plot thickens from there. While I have heard that the game has a strong presentation of a dark setting, I have never finished the game due to the horrible gameplay. It tried to deliver a gameplay style similar to Zelda, Alundra, and Terranigma, but the problem is that the controls feel sluggish, as does the actions of the protagonist. Puzzles are pretty weak, too. Loading screens take an age, including checking the inventory. All in all, Legacy of Kain might have been better off as an visual novel, movie, or audio book than a action RPG.

Nier

One of the best JRPG's I have ever played (which is hard for me to say since most of them are trash)

The game has a ton of very Emotional, dark and spectacular moments, despite being a good game on it's own

It's one of those games that's not just a game - it's an experience

Play it and see for yourself

The Shin Megami Tensei games have typically featured dark and strange themes.

Nocturne in particular can be downright disturbing at times. If you have a PS2, then you should check that game out and the rest of the SMT games as well.

That and you can sleep with one of your companions for money...wow.

Morrowind's MQ!

Morrowind Overhaul (sound and textures) 2.0 was released fully automated with very minimal interaction needed... it brings Morrwind up to oblivion graphical quality, hell some textures are running 1024x1024 and some 2048x2048.... and the music is masterful i thought i would hate it but... it just enhances the game even more....

It's avalible to PC too. And I agree, the gameplay is tedious! The start of the game is a lot of fun though, with lots of people to kill and suck blood from. But pretty soon the going gets tough and the tough gets annoying.

The Legacy of Kain saga continued with the Soul Reaver series and LoK:Defiance. Great games with a nice dark\horror story, nothing to do with RPG though.

Ah okay so dark in the bleak, dystopian sense? Yeah a Conan game/RPG - not the sorry arse ones that completely trash the lore set by Howard, but one that really takes place in the setting that Howard had clearly laid the groundwork for - would have been really good. There's a lot of philosophical ideas behind the stories, in spite of the strong Darwinian influences. The stories essentially perpetuate the degeneracy of civilization and how Man is living in a dog eat dog world, and how establishments can crumble whether with or in the absence of proper institutions. What's amazing is that Howard still manages to create a beautiful, almost surreal portrait of such a world without sacrificing details that ultimately still make the story bleak.

Anyway, if you want dark RPGs along such lines as Conan and Fallout, Wasteland is pretty good but it's not easy to stomach the graphics and interface if you haven't played such games for a while. For adventure games, Gemini Rue is great. You may also remember me recommending this indie MMO wargame called Darkwind - there's a new Scavenger mode implemented recently, which forces players to live on scraps rather than being able to hoard millions in dollars.

I'll post more later if I can remember any more.

The Witcher 1/2
Vampire: The Masquerade Redemption/Bloodlines
Planescape: Torment
Arcanum: Of Steamworks and Magick Obscura
Arx Fatalis
S.T.A.L.K.E.R Series
Fallout Series
Dragon Age: Origins
Mass Effect

I think these are all excellent RPGs that dealt well with mature themes. Evil playthroughs are a real treat, especially in the older ones.

Gothic's also quite dark, now that I think about it. I mean, a world that takes place inside of a prison, where men will slit your throat if you don't pay protection money, and prisoners automatically assign themselves at the top of a hierarchy just because they're big and have a damn huge, scary looking sword? Yup, pretty dark alright.

Just to be clear, I consider System Shock 2 to be, at least in part, an RPG and consider System Shock and BioShock to be essentially the same series, I have not played BioShock though so cannot comment on how much of an RPG I think it is
I still think the answer to this thread, like so many around here, is PS:T though...

PS:T is really dark and good, and I agree

It's not really a RPG (rather, it contains some faint RPG-like elements), but you might want to look into Pathologic by a lesser known Russian developer Ice-Pick Lodge. It is a journey into the nature of disease, with darkness and misery a-plenty.