For me its Paranoia Agent without doubt. Madoka Magica is a close second though that may be because of the contrast between the anime's story and the cutesy characters.
Darker Than Black for me.
I'm not sure. Perfect Blue is pretty dark. And Monster. Berserk, Devilman Crybaby. One of these is the darkest I've seen but I'm not sure which.
Jojo could get a special mention too because of the contrast. It's not exactly lighthearted but it's a really fun, wholesome ride with lots of humor and friendship, until someone is ripped in half, someone get their aorta pulled from their neck, a tall muscular man slips inside a man's bloody leg stump, someone get transformed into a fetus, people get eaten, a dog get burned alive, a dog get kicked to death, a dog get decapitated and eaten... dang it, I love you Jojo but sometime you're really really dark.
Ok i have to agree on that. Though I've not watched Jojo yet or devilman crybaby or perfect blue, Monster has its dark moments and the overall theme is pretty dark as well, though it falls short of true horror. Berserk, on the other hand is something I can't believe I forgot. Griffith scenes still terrify me. Grisaia is also really dark now that I think about it. (The visual novel much more than the anime, specially the bad ends.)
You want dark? Watch the uncensored version of Kite. Not your typical go happy kiddie anime
Agreed on Kite.
Also need to say there is a difference between "dark" and "horror", they often coexist but are not the same.
Elfen Lied for me. Although I try to avoid those types of anime anyway