Hunted: The Demon's Forge - despite the criticism it received, it's a great RPG with a Gears of War feel to it and some old school RPG design. Has a good length, a lot of replay value with New Game+ modes, great co-op play and some very fun puzzles, hidden dungeons, etc.
The Darkness II - if you haven't played the first game they do quite a good job of explaining what happened previously, and don't force-feed it to you in chunks of text (one of the eccentric characters explains it in an amusing fashion). Killing enemies in different ways will reward you with varying amounts of XP that you can spend on purchasing skills in talent trees. RPG elements are light but they're there nonetheless.
+1 for Bakes suggestion, but I also recommend playing through the original Witcher - has some beautifully dark and gritty atmosphere and is a fantastic game as well.
Diablo 3 - so long as you can get it cheap, £50 is a rip off. Very very dark game, zombies, demons, gore, you name it.
S.T.A.L.K.E.R - how nobody has mentioned this yet is beyond me, fantastic game. Doesn't have any kind of level up system, but it has everything else.
Morrowind - Very outdated engine now, but with a mod can look very good, but is very hardware demanding. It rains alot, has alot of Wicca inspired events and characters, and the main story mostly revolves around a desolate, tribal 'ashland' which is just that, a desert type area made of volcanic ash and dying foliage.
Dragon Age Origins - fantastic game, has alot of gritty events and actually manages to feel quite realistic and not over the top, which helped it.
Vampire Bloodlines: The Masquerade - obvious choice as well, you are a vampire, you go out at night in the streets of somewhere (I forgot ) and feed, kill rival vampires etc. has strong RPG elements.
Skyrim - can have all of this, as long as you choose the right mods, such as more and heavier rain etc. Otherwise it's just a PG13 version of Oblivion. You could always try vanilla as a vampire, as you'd obviously see small amounts of sunlight.