Mordack's Island was painted beautifully, with nice, sinister and demonic architecture. It was just the puzzles involving the maze and it being mandatory that you get caught by that blue monster once and the whole cheese debacle that killed that section of the game for me. Looked nice, played like crap. Like a lot of current video games out there, actually. For the record, the Underworld in KQ6 was never creepy to me. Like GrahamRocks said, that xylophone sequence ruined it. I'd say the darkest game in the series was definitely MoE, for obvious reasons--decapitations, gory corpses hung on walls, a pervasive feeling that nowhere you go is safe, hostiles everywhere you look, and a truly haunting soundtrack, especially for the opening level in Daventry.
But if you're going for the darkest "canon" game in the series (given that MoE is usually regarded as a spinoff rather than a true sequel), KQ4 all the way. Even with primitive graphics, it manages to convey tension when you're swimming in the ocean, walking through the empty Tamir landscape never knowing when that Ogre might show up, conversing with civilian characters who have fallen on hard times given Tamir is a crapsack world, being forced to do the villain's bidding, evil trees that sometimes grab you immediately when you see them, a minimalist soundtrack that blares unexpectedly whenever your life is in danger, nightfall, the quagmire swamp, sneaking through the Ogre's house and later Lolotte's castle, and last but not least, the troll cave, which is kind of like the adventure equivalent of Slenderman--you're wandering through utter blackness, and once the bad guy's seen you, you're already dead, and the rest is just details.
Anyone who says Disney can't do dark material has apparently never watched the Hellfire scene from Hunchback of Notre Dame. Or the entire climax of the movie, for that matter.