I'm coming back to Oblivion after playing Skyrim, and there is a glaring issue that, in my eyes, needs rectifying. Oblivion to me always felt rather bright, airy and slightly whimsical, with too much white/black morality, and as I'm a big fan of darker gritty fantasy stories such as A Song of Ice and Fire and the First Law Trilogy, I prefer things to be a bit darker. What mods are there that make Cyrodiil a nastier place to live?

I recommend you to install OBGE with HLSLbleachbypass.fx shader. It decreases the light and increases the contrast amazingly.
If you use HDR, you can set the Oblivion.ini as well:

fLightLOD2=500.0000
fLightLOD1=250.0000

[BlurShaderHDRInterior]
fBrightScale=0.7500
fBlurRadius=3.5000

[BlurShaderHDR]
fBrightScale=0.5000
fBlurRadius=3.0000

DarkUId Darn: http://tesnexus.com/downloads/file.php?id=11280
Original Color Darker Nights: http://tesnexus.com/downloads/file.php?id=4135
Let there be Darkness: http://tesnexus.com/downloads/file.php?id=22819
Adense Darker Ruins and Caves: http://tesnexus.com/downloads/file.php?id=14950
Darker Canopy Shadows: http://tesnexus.com/downloads/file.php?id=16186
Enhanced Quest Roleplaying: http://tesnexus.com/downloads/file.php?id=12828
Blood & Mud: http://tesnexus.com/downloads/file.php?id=12016
Malevolent: http://tesnexus.com/downloads/file.php?id=17781

And this may be a cheap plug... but my mod, Oblivion Intensity, makes the game much more dangerous, and also gives bandits their own style which includes a tendency to wear hoods, and darker armors like black leather armor, black boiled leather armor, and dark fur armor. (http://brettsaltzer.com/oblivion/)

I don't think you are asking for mods that color the world darker literally.

There was a mod called "Balzu" that I saw here earlier, not sure if a overhaul or a total conversion, but it seemed to fit what you were asking for...

Integration: The Stranded Light may seem pretty bright, and happy-happy, but it's all mostly done for logical or selfish reasons, and it does have a sort of oppressive, big brother media control vibe with the couriers, paintings, etc. There are also a fair amount of very gritty moments... especially in the Renjira Krin, and Disciples of the moment quest lines.

Haha... Seems I got you wrong.
If you want "dark world", take a look at http://www.tesnexus.com/downloads/file.php?id=12016

Nah its fine (a think a large part of making Oblivion darker would be making it less shiny/cartoonish).

Thanks for the mods!