You've heard of having your cake and eating it, too, right? Dark fantasy is a lot like that for readers and writers alike. Do you like sword and sorcery, but you like the action to be bloody or scary, or both? Dark fantasy is the genre for you.
The subject of fantasy books ranges from the magical to the supernatural, taking place in our present or past, or outright imaginary times in imaginary worlds. The commonality is that science and the macabre don't usually make an appearance.
Horror books, on the other hand, love all things macabre, dark, bloody, and psychologically torturous. The level of gore in a horror book can range from zero (purely psychological horror) to off the charts (splatterporn horror, like Saw).
What makes dark fantasy so special is that it is a sub-genre of both fantasy and horror, and it straddles both worlds as much or as little as the writer chooses. A dark fantasy book may be told from the viewpoint of the traditional villain, like a vampire or werewolf, or it might be set in a dystopian-type world. The works of H.P. Lovecraft, Anne Rice, and Clive Barker, and select works from Neil Gaiman and Stephen King have all been classified as dark fantasy fiction.
So, the next time you're in the market for something darker or horrifying than your usual fantasy tale or more fantastical or mysthological than your average horror novel, try a dark fantasy novel on for size.