"I can't remember the last time I saw a wizard casting magic with a fucking smile on his face. It's always a grim, half-hooded scowl of disgust, like he's shaking off some stubborn ear-wax rather than the manifested power of the Fire Spirits. 'Ooh, I had to fight in a big war because I've got mastery of time and space; meh meh meh'. Why don't you magic yourself cheerful, you gloomy spod?"
In terms of politics, often there's an endlessconflict between the civilizations. Wars of extinction are not uncommon and entire Worldsnote world, in this context, means both planets and planes of the multiverse are often put to the sword to ensure victory. Otherwise it is a fight to be the new figurehead of the old empire that had fallen eons ago.
Even if you don't count in the Black and Gray Morality of the heroes, they spend is most of their respite on having sex or getting drunk and violent and have a less than amicable working relationship with their comrades.
Black Moon Chronicles, a French series of comic books is essentially this as the tale is set in the war-torn quasi-medieval world where corrupted priests, misguided paladins, demons and indifferent mercenaries vying for power while an impeding doom looms on (or rather above) the horizon.
Some albums from Thorgal series are set in definitely bleak and corrupted fantasy settings (especially Three Ancients of the Realm of Aran/Bottomless Lake).
The Vampire Diaries, it started fairly standard fantasy and it slowly became darker and more cynical.
Return Of The Reaper would be a clear example, with the "hero" being the same demon who enslaved all the sentient races in the world and who is acting more for revenge than for the well being of those sentient races.
The Cthulhu Mythos along with the Cosmic Horror Story genre in general have evil cultists galore, and a whole plethora of incomprehensible Evil Gods. Magic or any reality-warping abilities are generally not used, as one wrong word results in Insanity or Mind Rape by an Eldritch Abomination. Success will usually either drive you insane(r) or get you eaten by an Eldritch Abomination. That said, if a wizard is mentioned, you can bet your ass he's a villain or will meet a tragic end. The only notable exception is a guy who reads a spell book For Lulz, and accidentally teleports himself to an Eldritch Location.
The Second Apocalypse series begins with about half the known world being destroyed by the No-God, and things continue in the same general tone from there.
The Malazan Book of the Fallen takes typical War Is Hell conventions and applies them to fictional wars in a fantasy setting. Some of the atrocities the characters bear witness to (or go through themselves) are genuinely shocking.
The treatment of magic varied a lot. For most of recorded history, it was either bad or ignored. Recently, this has started to get subverted, thanks to popularity of fantasy works and the good PR that Neopagans have.
Politics part mostly depends on your interpretation of (mostly real) history. On Five Races, that trope didn't exactly exist back then, and The Fair Folk were mostly just annoying tricksters. A Forever War thankfully never truly occurred.
The overall theme in Planescape is it's moral ambiguity, and the bizarre settings only increase grim mood.
The Midnight setting takes place in a rather generic fantasy world where the Forces of Evil won the final war and the protagonists are guerillas or simple folk trying to delay the inevitable. Imagine The Lord of the Rings if Sauron had won.
The Dark Sun setting takes place in a desert fantasy world where the Forces of Primordial (or whatever bad, bad guys the writers feel like throwing in an edition) won the war and the heroes (if you can call them that) fight out of necessity, not idealism.
Gemini is set in dying world that succumbed to eternal twilight and the people are harassed by the demonic forces looking for hiding Prophet believed to be a Saviour of Man.
Dont Rest Your Head: A group of insomniacs are slowly losing their minds, and gain access to a city built out of insanity, and populated by corporeal nightmares, which they fight off with Power Born of Madness. And, as the title suggests, if they do ever get to sleep, they are in deep shit (If they live long enough to wake up again, they lose their superpowers untill sleep deprivation drives them crazy enough to use them again).
Kult: Humanity used to be immortal super-entities, but a jealous deity known as the Demiurge took away our powers and sealed them off, and imposed "mundane reality" on us. People who we think to be crazy are actually seeing through this veil.
Atmosfear (AKA Nightmare), which has the players at the mercy of an angry, petty demon-god called the Gatekeeper. The players roleplay his minions, either his Herald, a monster beholden to him, or a "soul ranger" attempting to steal a key from a herald.
Palladium Game's Nightbane, where you must save a modern-day Earth that has *already* been taken over secretly by monstrous shapeshifters- often by being one of them.
Although the game itself has very little in terms of setting, the rules and artwork in the Lamentations Of The Flame Princess core books present a world filled with sex, black magic and the most gruesome violence imaginable.
Exalted: Creation has pretty much been on a declining spiral since it was created, with one or two temporary exceptions. The Gods are corrupt, lazy, and/or addicted to games which are worse than crack, heroin, nicotine, and bacon combined. The world is threatened by no less than three sets of Eldritch Abominations, any of which would be happy to corrupt, unravel, or utterly destroy existence. The greatest weapons with the capability to fend off these enemies are humans stuffed with way more power than humanity was built to handle, suffering from a curse that causes them periodic psychotic breaks. The average mortal can expect either a long life of drudgery and toil or a short life of terror and pain. Oh, and those weapons? Two of the three sets of Abominations have their own versions working for them. Pretty much the only thing keeping the setting from being a Cosmic Horror Story is that the PC Exalted are fully able, if they act with wisdom, to actually confront and, potentially, solve the problems that face Creation.
Overlord series are both a pastiche and a parody of this genre.
Brutal Legend has elements of it (Humans opressed by demon overlords and both sides under attack from The Undead), but it's mostly masked by the sheer awesome.
Amea features a world overrun by zombies, yetis, and darkness. And by the end of the game, Amea, Inglor, and Garrik are shown to be the only good guys, and Garrik gets killed fairly early.
Valkyrie Profile is an example of one. Slavery, war, and general atrocities is the order of the day. More often than not, humans succumb to the worst part of themselves. Not to say that the gods are any better. Ragnarok is just around the corner, and things are falling apart. Your job is to recruit the soul of worthy mortals to fight in that final battle, and there is no shortage of death and despair to make it very easy and guilt-free for you.
Demons Souls takes place in a kingdom completely overrun with demons, and it's up to you to feebly try to destroy them.
In Dark Souls, the Fire that lights the word is dying, and it's up to you, cursed to never fully die and to slowly lose your humanity every time you fall, to travel through the undead and demon filled ruins of Lordran to do something about it.
Avadon totters on the edge of the trope without quite falling off, allowing for both humor and heroism in a totalitarian, ends-justify-the-means society that's one broken treaty away from bloody ruin.
Dwarf Fortress moved from Low Fantasy into this genre in its 2010 edition. Staying outside at night is tantamount to suicide by hordes of bogeymen, other evil creatures casually kidnap and murder people, and Hidden Fun Stuff occasionally breaks free to take over religions and civilizations. The 2012 edition, with its necromancers, divine curses such as vampires and werebeasts, and evil Death Worldsnastierthanever, cements its status as Dark Fantasy.
Fallen London and Sunless Sea are set in a version of Victorian London that was "stolen by devils" and is now run by the Masters of the Bazaar. Players can commit murder and cannibalism, go mad, become possessed, have their eyes stolen by spiders, sell their soul and be sank beneath the strange waves of the zee by enemies.
The original Quake featured this as the main setting. Eldritch horrors, dark magic, gothic and occult architecture, and an overall bleak atmosphere permeate the entire setting of the game. The major difference? You kill the enemies with More Dakka.
Black Rose features a grimy corrupted empire with Steam Punk technology versus an underdeveloped country where magic users are being wiped out, a lack of fantasy races other than humans, and a continued emphasis on how while things might seem bad at present, the protagonists will doubtlessly be going through worse. Said underdeveloped magic using country also has magic users capable of Mind Rape, with the military of said grimy corrupted empire being their only true means of protection against them (for a fee)...provided they don't just "vacate" their settlements and take over their land if they don't buy in.
Drowtales: Murder and Demonic Possession are very common. One character whose life is in danger comments that she doesn't want to end up Undead (and another has her zombified little sister as a bodyguard). Cannibalism is completely legal due to a resource shortage, as is rape, incest, pedophilia, and Jack Bauer Interrogation Technique. Schools don't mind the students killing each other, as long as they do so quietly and dispose of the bodies themselves. And those are the "good" guys. On the surface world, nobles bathe in elven blood because they think it'll make them immortal. Magic is fairly neutral though, but some are allergic to Blood Magic.
Parts three and four (and possibly part 5, we're not sure since it hasn't been posted yet) of A Modest Destiny, although they manage to inject some humor. It also seems to be getting better (due to one character, a frost-elf Vampire/ Necromancer, being stuck in the Heel-Face Revolving Door.)
Draconia Chronicles, although it's more of the "Society is in the toilet, none of the races can get along or see their so-called "allies" are about to stab them in the back, and there's constant, unceasing warfare, atrocity, and bloodshed" sort of dark.
Demons Due: An illustration based web series where an evil sorceress unleashes all kinds of evils upon a local lordship. Magic is fairly neutral here, too, but dang is it can't be misused for all kinds of horrors in this one.