Dark fantasy is where fantasy starts shading off toward horrror, using some of its traditional trappings, like vampires and shape-changers.
Dark fantasy often takes place at night, among creatures of the night. The tone is often cynical, the heroes Byronic. The difference between dark fantasy and horror are several. Horror exists to evoke fear, as constantly as possible. The moods of dark fantasy are many, and include a pleasant sort of wonder. In horror, the creatures of the night must be fought and overcome by the protagonists; in dark fantasy, they may BE the protagonists, as sympathetic as you like. Dracula is horror. Dark Shadows is dark fantasy.
Beowulf, one of the first great dark fantasies of all, tiptoeing pretty close to horror
Grendel by John Gardner, retelling Beowulf from the monster’s point of view
Flesh and Spirit and Breath and Bone by Carol Berg
Those Who Hunt the Night and Traveling with the Dead by Barbara Hambly
Conjure Wife by Fritz Leiber, which has no vampires or werewolves, but suggests that the Fifties housewives were controlling their worlds with magic.
Interview with the Vampire, The Vampire Lestat, Queen of the Damned, The Body Thief, The Vampire Armand, The Mummy, or Ramses the Damned, The Witches of Mayfair, Taltos and others by Anne Rice
The Dracula Tapes, An Old Friend of the Family and Thorn by Fred Saberhagen
All the St. Germain and Olivia novels by Chelsea Quinn Yarborough, like:
Le Comte de Saint-Germain
Mansions of Darkness
Writ in Blood
Better in the Dark
A Candle for D’Artagnan