While there are numerous examples of great dark fantasy stories out there (with a certain series by George R. R. Martin being the most obvious one), I thought I might go with something a little older and more classic: Glen Cook's The Black Company.
The first of a series of novels that share the same name, The Black Company follows an elite band of mercenaries called the Black Company. After breaking the contract with their previous employer, the Company travels north to fight a growing rebellion which hopes to overthrow an evil empress known simply as the Lady and her powerful servants, the wizards known as the Ten Who Were Taken.
The Black Company is a perfect example of dark fantasy done right. Unlike other authors, Cook doesn't seem to revel in the gritty elements of his story. Instead, Cook has his narrator (the Company's annalist and surgeon Croaker) present the story of their time in north in a somewhat dispassionate way, treating these events as just that: events that happen during wartime, whether you like it or not. I feel like that was the right way to go with this kind of story, and choosing to tell this tale as someone recording it for future members of the Black Company to look back on really works as well.
Cook also does a fantastic job in the character department and introduces some interesting concepts. One of the most important elements to any dark fantasy story is a cast of character that we can like and care about (despite their actions). Cook does this by showing the camaraderie between the members of the Company and using the first person perspective. I also love his minimalist approach to worldbuilding, just giving you enough so you'll get the idea but leaving just enough room to make you wonder and want to learn more about those same elements. Also, I'll go ahead and say the Ten Who Were Taken are some of the most interesting villains I've ever seen and I love how mysterious and weird they all were.
However, The Black Company isn't a perfect book. Personally, I felt the novel's pacing grew a little sluggish in the middle and it made reading those chapters a little difficult at times. While you could blame this on the fact that its basically someone recording the group's history and no one in the novel ever says Croaker is a particularly good writer, but it did make parts of the book a little tedious.
Even though the pacing wasn't perfect, I still really enjoyed The Black Company and would recommend it to anyone who enjoys dark fantasy, stories with interesting characters, or war tales with a fantastical twist. While you might have trouble with parts of the book, just keep reading. You won't regret it. I sure as hell don't.