For you Star Wars fans, look at it this way; Which season of LOST is the series' "Empire Strikes Back?"
Empire was known to be much darker than A New Hope and definitely much more than Return of the Jedi and i was wondering which season you guys thought was the most serious.
I personally think Season 4 was the darkest. And also my favorite of the series. With most of the story based around death, it would be hard to beat. For the entire season you're wondering who died and is in the coffin or you're wondering when Keamy (one of my favorite LOST villains) and the freighter people were going to attack the survivors.
It ended very grim too, with the grizzly murder of Keamy by Ben (always stabbing, that guy). And the freighter explosion that left many wondering if Jin was alive or dead.