I like anime's with darkness. Like Supernatural the anime and black butler
i love series that have darkness in them. its always interesting in seeing the series progress revealing all its darkest secrets.
some other supernatural anime are 11eyes though its in the middle of the pack though its on the supernatural side. Personna 4 is also dark and supernatural i dont mind it and its a bit predicatble but i never really knew much about the series before the anime. its about a group of kids/teens trying to find and catch a serial killer. some love the series alot.
Berserk is an oldie but its more of a blood gore supernatural series. Darker than Black is very good. not exactly supernatural but the characters do have super powers that do come with conditions ie preodrained tasks to do soon after using the powers. theres Deathnote very good dark dectective series (with great OPs and EDs).
Elfen Lied is super natural and does contain mild nudity. Saikano is a mix of romance and dark themes as the main herione does kill alot of people. its more of the technological than supernatural but the mood never gets too cheerful and the last 2-3 eps have a bad ending and the previous ones have a good ending. Saikano wasnt that great but its decent.
theres also trinity blood, a vampire anime. Dance in the vampire Bund is a vamp werewolf series.
ive mentioned some other darker series in my previous post though i dont recall mentioning Another (Another is the series title). its another ghost supernatural anime. Higurashi No Kokoro is very good, the first season can be a bit confusing to get through but it'll all clear up when they get to season 2 lost of darkness hiding under the surface there.
Avenger isnt a supernatural series more of a slow paced mars colonial series that focuses more on story. it may be a bit slow paced for most people but i do appreciate a slow paced series.
Bakemonogatari and Nisemonogatari are quirky, funny and focus on some supernatural creatures. its more comedy than horror though.