Mine's pretty dark...whether it's deep or not is open to interpretation. It's not designed to be lighthearted at least.
My works are all set in the same world,a steampunk-flavored setting VERY loosely based on 19th century Europe.
-"The Piece of Virtue" is the story of an underage prostitute and the mercenary she hires to protect her after she witnesses the murder of a powerful politician.
-"The Ultimatum" concerns an atomic bomb-style device being sought after by terrorists, governments and pretty much everyone who finds out about it.
-"The Silver Circle" is about a girl getting drawn into a Masons/Crowley-type cult, and how she deals with the recruitment and pressure.
Each has a bit of commentary (or at least pointing up of a problem), but I try not to preach through my writing. When I want to make a point I'll post/write an essay about it, and when I want to tell a story I'll tell a story.
Really though, depth is in the eye of the beholder. When and if I get published y'all can decide for yourselves.