This is defined as stories where the heroes aren't always nice or the fantasy has a definite grounding in elements other than sweetness and light. Life is often short, brutish, and nasty, with all the aspects of most human societies that we go to other fantasies to ignore. It tends to the dark and the uncomfortable, lowlife settings and Machiavellian politics. Examples include:

• The Thieves' World anthologies edited by Robert Aspirin and Lynn Abbey
• The Spirit Lens, by Carol Berg
• Flesh and Spirit and Breath and Bone by Carol Berg
• Lord Foul's Bane by Steven R. Donaldson, usually classed as epic fantasy, but this series is very dark
• American Gods by Neil Gaiman
• Assassin's Apprentice, Royal Assassin, and Assassin's Quest by Robin Hobb
• The Borribles and The Borribles Go For Broke by Michael de Larrabeiti
• The Blue Star by Fletcher Pratt
• Metal Angel by Nancy Springer, which also qualifies as urban fantasy

You can buy Gritty Fantasy titles at the Other Worlds Bookstore.