Oh, don't play F.E.A.R. What a letdown that was.
You could try The Dark Eye. It's a claymation adventure that, while very light on puzzles, is as gloomy as can be since it's based off of Edgar Allen Poe's work.
Alternatively, The Blackstone Chronicles takes place in an abandoned asylum. You speak with the ghosts of past residents, and their stories can be pretty grim.
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