These kind of characters can be incredibly satisfying when played right. However, they can be incredibly annoying and unbearable to the rest of the party if they are played wrong. So, thought I'd post a quick guy for players who wish to play a dark character well.
Pick Your Themes
The first decision you have to make when you decide to play a dark character is what themes do you want to explore with the character. Do you want to play a character who wishes to make a single NPC suffer for the death of their fiancee and is willing to do anything to see that happen, even if it ends up turning them into the monster they hate so much. Maybe you want to play a prince who was exiled after a political coup who wishes to reclaim his throne. However, because he wants to reclaim his position so badly, he's willing to use any method available to achieve his desired goal.
To play a dark character well, you really need to pick your character's basic theme. A good theme, in my opinion, has the character begin his path with good intentions. As an example, let's say a wizard began studying magic so he could learn how to bring his dead love back to life. However, you have to have the character head down a diverging path that would logically cause them to take certain actions others might deem morally question or downright evil. Using the previous example, let's say the wizard chooses to practice necromancy because it would better help him with his goal and is willing to delve into darker magic if it will reunite him with his lost love. As with any character, having a clear idea of its theme will help you play the character a lot better.
Pick Your Weaknesses
Once you have your character's theme, you need to determine what weaknesses caused the character to travel down that diverging path of moral ambiguity or evil. Let's go back to our necromancer fan from above. The reason he decided to walk down this path can be boiled down to selfishness. While wanting to be with the person you love is an understandable thing, his obsession with returning her to life is based off his selfish need to have her with him once again, even if her soul is happy in the afterlife. Knowing what weakness caused your character to go off the normal path will help you make decisions in the game that feel honesty to the character you are playing.
One of the easiest ways to determine a character's weakness is to choose one or more of the seven deadly sins. If you are playing a character who wishes to take vengeance on a specific character, the sin of Wrath might be a perfect fit for the character. The character who is willing to do anything as long as the price is right is a perfect fit for the sin of Avarice/Greed. The use of sins to help define your character worked pretty well in World of Darkness, so I believe it can work just as well when creating a character for another game.
Always Have an Explanation Ready
Whenever your character does something that another character might find questionable or downright evil, have your character's reasoning for why they took the action ready. If you're playing a bounty hunter and you've just killed a bounty instead of taking him back in alive, be ready to explain why you made the decision to kill him. Maybe you decided that since he's a repeat offender and has been arrested numerous times, there was no point to bringing him in alive since he probably would have just broken out of jail once again and returned to a life of crime.
Having a reason behind each of your questionable actions will help the other characters in the party understand why you did something and could even spark some roleplaying scenarios where a character who should find what your doing wrong, but discovers they actually agree with your reasoning and now start questioning their own ethics. Stuff like this can lead to interesting character grow.
Determine Where Everyone's "Lines" Are
This is where I feel most people tend to falter when playing a dark character. Since you are going to be playing a morally questionable character, you will occasionally push against some of the limits of the other characters. While this can lead to some interesting roleplaying situations when done with moderation and care, it can also end up pissing the other players off if you decide to push to far.
So, if you are going to play a dark character, I suggest determine where everyone's comfort zones are and what stuff they really don't want to deal with at the table. For example, if one of our characters is sensitive to sexual assault, it might be a bad idea to play a character who's a rapist. Know where everyone's boundaries are and be very carefully not to push them to far because this is a game where everyone wants to have fun.
I think if a player keeps these things in mind, playing a dark character will be a lot easier and more rewarding.
((Quick Note: Since I've been rather busy lately, I'm going to be switching to a Monday, Wednesday, and Friday posting schedule for now.))