Dark fantasy is when fantasy (either low or high) interacts with darker elements that are often associated with horror. Think: the Dementors within the Harry Potter universe. Dark fantasy elements can be literal, through terrifying monsters and supernatural threats, or thematic such as continued references to mortality, or extreme emotional conflicts that push characters to the edges of their morality. Often, our main heroes might meet unfortunate ends, as seen in A Game of Thrones. Often dark fantasy elements can be seen in paranormal fiction, but dark fantasy tends to have more of a reliance upon world-building and creating a creepy atmosphere to send shivers down your spine. This is why dark fantasy is often used interchangeably with Gothic fantasy.
The sub-genre typically overlaps with other types of fantasy and is usually intended for older readers due to emotionally heavy content: endings are often bittersweet, suspense is unravelled in a way similar to horror, and there is a large amount of explicit gore and sexuality.
Good examples of dark fantasy would be works by Neil Gaiman, such as Coraline, American Gods, or The Graveyard Book, which cross over with urban fantasy.
Coraline is such a fantastic example to use to portray the divide of where fantasy becomes dark. Fantasy elements in a broader sense would refer to the young girl finding a door in her new house which leads to another place. Dark fantasy would be the fact that the new house is identical, and that her parents there are also identical, marking them her Other Mother and Other Father in a creepy and unsettling way. In typical high-fantasy, monsters might be traditionally evil with clear motives established from earlier on in the story, but in a dark fantasy such as Coraline, the Other Mother's motives are kept hidden until around halfway, allowing a greater effect on the reader to play with their expectations, and keep the intensity and foreboding atmosphere of the story.
The A Song of Ice and Fire series (George R. R. Martin) is another terrific example of where high-fantasy becomes dark and gritty. In a literal sense, the White Walkers present a direct threat as ultimate antagonists against the heroes, but further darker elements also rely in the plot where the protagonists sometimes meet unfortunate fates at the hands of their enemies. Additionally, the intense and chilling descriptions, as well as some sexually explicit and violent scenes throughout the series create an uneasy atmosphere where it seems that nobody is truly safe, as characters battle for power, maintaining a sense of dread within the reader and again defying conventional expectations.