No, pretty much every one of them. I prefer darker, heavy themes. For example I love Double Dragon and Castlevania on NES but never enjoyed Mario or Zelda or such — found them too naive for my taste back in the day (was eight year old)
Pokemon's pretty dark. Where's Ash's father, exactly? And we're in this world where kids leave home to enslave monsters to fight other kids? Plus the local mafia also fights these kids?
There's a few darker JRPG games. Check out the Shadow Hearts series. It has a horror vibe/setting.