Well, Millennium is more fantasy as there is this whole different world with demons, but it has very dark parts (and gore too). I suggest reading the blurb for a feel of what it's like :)
If you're into dark stuff I think Mannequin, the Experiment and the Boogeyman might be worth a read too :)
Also, I plan on writing a sequel too Lecter, but I'm going to finish Millennium first