-Persona 3&4 (Primarily 4, that game is freakin' AMAZING!)

-Digital Devil Saga 1&2 (You HAVE to play them in order)

-Fate/Extra

-Shadow Hearts 1&2 (Shadow Hearts 2 a.k.a. Covenant, is also amazing. They share similarities, but it's not necessary to play them in order)

Those are the only ones that I was able to think of off the top of my head, and there may be more that I'm forgetting, but the ones listed above are some of the darkest RPG's ever.