I'm a little late @Antipathy but here:
Amnesia: The Dark Descent
Dead Space Series (is a GREAT for depressing and stuff like that. The story is along those lines.)
To The Moon
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Give Max Payne 2 a try. It's definitely more gloomy than 3. Maybe give Dear Esther a shot too but it's very different to mainstream games.
Spec Ops: The Line is a really good game that you should try out. It pushes you almost straight into the deep end of morality and really questions not only the morals of the protagonist but also the player.
Limbo is a really good dark and nightmarish side scroller.
Watch the intro to The Last of Us
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