I've found that when it comes to 'dark' stories, most of them fall into two main camps:
-Horror is what most people are familiar with...stories and characters that are designed to scare you and make your heart race; to threaten the protagonists with death and violence, and to force the viewer to see things that are viscerally shocking and/or disgusting (gore covers both categories pretty well~).
The viewer usually comes away with (hopefully) temporary 'conditioned responses'...they learn to associate relevant stimuli (like dolls, or cemeteries, or certain animals 
) with danger and fear.
-Unease is a term I came up with for stories of a less dynamic nature...stories that are designed to unsettle you, to get you to think about things that people don't like to think about...like death as a concept or a state of being, rather than an immediate (and therefore escapable) threat.
Often they don't even contain any 'threats' per se, just an uncomfortable juxtaposition of realities: significance vs. irrelevance, truth vs. 'sanity', existence vs. oblivion, innocence vs. torment.
The viewer usually comes away with a new way of thinking about a certain situation or state of being, and how deeply and tragically it could affect someone's mind...even if the circumstances are totally fantastical. ^^;
With that said, which do you prefer?
I may have made it a little obvious, but I definitely prefer Unease. ^^ The same way horror fans enjoy being scared out of their wits, I enjoy having my mind twisted up when faced with the unfathomable.
I think it's because uneasy stories are built to let your imagination (which I have plenty of~) do most of the work-- they tend to present you with things that aren't immediately horrifying; they only become so when you start to think about them; what they might mean and how they might feel.
For me, the classic unease situation is that of a lone astronaut who becomes untethered, and is left to float out into space.
The initial reaction is of course 'OH NO' because they can't get back, and they're totally helpless. But if you don't think further than that, it's not really upsetting...nothing violent happens; they're in their spacesuit, so they'll technically live; and it's such a slow-moving event that you can easily play it for laughs if you want to.
Of course, when you do start to think about it, that's when unease sets in: they are totally helpless. They can't slow themselves down or stop. If they cry or call out, no one can hear them. Even if they could, it could take days or years just for someone to reach where they were when they 'fell', let alone where they might be floating by that time.
They have nothing to do except wait to slowly die of thirst...or asphyxiation, whichever comes first.
And you can go even deeper if you imagine being that astronaut...one slip, one tiny little mistake, and you've gone from a fantastical adventure to utter and abject despair. No matter how much you want to take it back, you can't. No matter how obvious it was what you should have done, it's too late to fix it. It's too late for anyone to do anything about it.
You're going to spend the rest of your life in that rigid, uncomfortable spacesuit, which will probably get more uncomfortable as its features start to shut down. No one will know where you are, and no one will even be able to reclaim your corpse. It may be a while before anyone even figures out what happened to you.
The best you can hope for is for your remains to eventually settle somewhere on an asteroid, or be burnt into some planetary surface, so that someone might come along someday very far into the future and find some clue that 'hey, a person was here'.
But it's much more likely that you will simply float away forever, lost for literally ALL of time.
...Well, that was fun (and also terrible...but that's why it's a classic). ^^;
But before I go, I'd like to mention that Unease, while it's always uneasy, isn't always dark and full of existential despair. Just like 'funhouse' horror and campy horror can exist, there are ways of doing unease that are more entertaining.
Unfortunately, there aren't many examples...I'm sure there are some 'psychological' anime that probably fit the bill (I don't personally know of any, though) and you can get bits of pieces of that energy from lots of well-written gag comedy. ^^
I think the best full-fledged example that I know of is one of my favorite films, The Truman Show. ^^ It's not a dark story; it's very emotional and hopeful, the kind of plot that has you cheering the protagonist on all the way. And the atmosphere is very cute and light...mostly in contrast to all the turmoil said protag is going through, but it also has a 'heroic' energy that suits him.
The unease, though...it's as thick as pea soup. ^^ The movie does a great job of juxtaposing the 'truth vs. sanity' that I mentioned before...and there are lots of disturbing implications to take away from it, especially if you start to think 'what if he made a different choice at the end'...? Or, y'know, regardless of what choice he made, the inevitable psychological consequences of what he just endured.
I don't want to spoil it, though; if you voted for Unease (and even if you didn't) I highly recommend you just watch it, and see for yourself. 
EDIT: Now that I think about it, Infinity Train is basically Unease: the Animated Series, and I highly recommend you watch that, too~ b(￣▽￣)d
