If you're looking for Lovecraftian, and enjoy text adventures, then 'Anchorhead' is a decent title to check out. (I think it's available for free, too.) Eternal Darkness is probably the best option, though.

There are plenty of other games based on Cthulhu stuff, (Shadow of the Comet, Dark Corners of the Earth, etc), but I wouldn't say that they "feel" particularly Lovecraftian.

I think you have an unfair impression of consoles. Legacy of Kain has one of the best story arcs I've seen in any game series, and yes, it takes itself quite seriously. It has the distinction of being one of the few series where you end up genuinely rooting for the ostensible villain (Kain) because, frankly, he's right.

You can probably get away with starting at Soul Reaver instead of the original Blood Omen - obviously it's best to have played the first game, and you'll pick up on more nuances if you do, but you won't be lost or anything. Personally, I'd suggest skipping Blood Omen 2 (it was done by a different team and completely butchers the backstory, and can be safely ignored as far as the other games are concerned).

If you want to 'test the waters', see if you can find the short story by Harlan Ellison. It's a pretty quick read, and provides one of the best ratios of bleak, soul-crushing despair per page that you're like to find in science fiction. It's freakin' awesome.

Completely forgot about Still Life. You must be braced to deal with a few truly dreadful bits (the baking puzzle, the many-year-long sewer sequence, lockpicking). Despite these niggles I enjoyed the game a lot and would recommend it. And yes, it's pretty dark.

Its prequel, Post Mortem, is nowhere near as good. I haven't played Still Life 2 yet, but I've heard it's hardly the game of the century either.

Also going with I Have No Mouth, And I Must Scream

Legend of Zelda: Majora's Mask. Just pay close attention to how the various NPCs handle their impending death. It's really quite depressing.

Nobody mentioned Disciples 2 yet? I really liked the dark-fantasy theme and the heavy atmosphere it has.

The Sherlock Holmes deal with some dark themes. The one about Jack the Ripper explores the deepest crevices of sadistic depravity, and the Testament... shows promise as well, though I've only begun playing it, so no spoilers, please!

what about that one game: dark athena, chronicales of riddick! and don't forget the original fallouts!

And because I just remembered it, here is Saturday Morning Breakfast Cereal explaining why Pac-Man has one of the darkest themes ever.

Although it flirts with "cheesy" territory, I found Condemned to be quite dark. The concept behind the plot alone is pretty unsettling.

When it comes to dark video games, there are not many things darker than "When They Cry" series.

For those uninitiated, WTC are hit indie Japanese kinetic novels also available in English and other languages.

The first game is called "Higurashi no Naku Koro ni" and comes in two parts that were released in English as "Higurashi: When They Cry" and "Higurashi: When They Cry Kai"
It deals with a mysterious phenomenon where every year one person dies and one disappears on the same day within the village of Hinamizawa. A boy, who recently moved to the village is pulled into the mystery and finds that an apparently peaceful village is anything but and hides many dark secrets.

The first game can be bought digitally from the publisher's website and Desura.
The second game can be bought digitally from the publisher's website only.

The spin-off series called "Umineko no Naku Koro ni" were released officially only in Japan and translated by fans into English (with the creator's blessing, which is very unusual in these cases).

Umineko is less of a horror game and more of a mystery one and is heavily inspired by "And then there were none..." by A. Christie.
Eighteen people gather in the secluded island to discuss the inheritance problems of the Ushiromiya family. Come midnight, telephones cut off, the island is separated from the mainland by a raging hurricane and the people start dying one by one. The culprit might be one of them or it might be the fabled Golden Witch Beatrice.

All the information where to acquire the game and the translation is available on the Witch Hunt site.

The games are fucking long and one might easily sink a 100 hours into each. The free demos are also available for both games.

Call of Cthulu is pretty dark and pretty awesome. Might be time for a replay...

Did I mention the blackwell series ? I find it quite dark, dealing with usual ghost stuff (loss, regret, irreparable mistakes) but also human themes like exploited psychological vulnerability, etc.

(just sayin')