Either Mario & Luigi: Partners in Time or Super Paper Mario; the former because of what happened to those Toads the Shroobs captured and the latter because of all that Count Bleck and Tippi crap.
Saddest and darkest Mario game is definantly Super Paper Mario. The saddest and darkest game/book/movie of all is/WILL be Harry Potter and the Deathly Hallows :cry: . Although, if you want I'll give you want PM you a list of people who die.
Luigi's Mansion was pretty creepy. I think I might consider TTYD the saddest Mario game (or at least the most profound), but I don't know why and I'm not willing to think up a reason. I probably shed the most tears during SMRPG's ending, but those were tears of joy.