Their god abandoned them (twice, as morrigan comments at one point), yet they still cling to him with all their fervour... another nation worships dragons. Not so bad? Those dragons happen to be the archdaemons.
They have magic users, all magic users, either kept in the Tower (gilded prison), made Tranquil (essentially having their soul destroyed) or killed outright because they suspect those mages have made pacts with Daemons for power.
The stuff of magic, Lyrium, drives people insane and/or demented after repeated exposure (the templar outside the Denerim Chantry). Even the supposedly (very) resistant dwarves get affected.
When you dream your soul goes to the Fade, till you wake up. Daemons live there. Heaven has been destroyed, made black and ruined forever, and the Fade seems to be Hell now, pretty much.
Darkspawn invading a totally unprepared nation, and that nation's rulers' reactions (betrayal, civil war, not uniting to their country's defense). The result? Ferelden gets pretty much swallowed up by blight.
The darkspawn eat the dead, and any females they find they try and turn them into brood mothers. Their methods are described in quite some detail in the passageways leading up to that fight.
Speaking of which, the darkspawns'/daemons' fleshy taint stuff they leave lying around.
Origin stories. Rape, betrayal, murder, more betrayal (human noble, your whole family is betrayed and murdered, right down to the last child. the others are just as bad, or worse.)
Grey wardens, making the ultimate sacrifice to kill the Archdaemon.
If you survive the joining, the taint is still going to kill you. Just not instantly. It's like cancer, only with darkspawn voices.
The Tevinter Imperium, a whole nation of blood mages.
The secret to making Golems. The story behind the werewolves. Connor (that whole story arc).
In most Fantasy settings I've seen, the enemies are often black and/or red (clothing/armour/weapons/buildings), spiky, hell-bent on killing everyone not aligned with them and fond of betraying those that are. In da

, EVERYone seems to be this (Maybe not spiky as such, but still...) even the Warden if you choose it (after beating loghain, you can betray alistair and have loghain join you. Made more traitor-y if you're romancing alistair at the time)
I'd call Dragon Age "dark", because to me, there are several thematic similarities to Warhammer 40k. Lots of betrayal, a massively oppressive church to an absentee god, enemies that were once men, who fell from grace and are now twisted, blasphemies against nature... both settings have all this and more.
If anyone knows a more grimdark-filled setting outside of actual horror, I'd be glad to learn of it...