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Many FFs have dark themes to them. Naturally, spoilers ahead.
FF2 and FF4 killed party members left and right. In FF4, some of them got better, but still. FF6 had the world destroyed by a mad god, and even in the end, the world was still in ruins and magic was gone for good. FF7 killed off a main character again, rather ruthlessly. From the visual style, to some scene elements (trail of blood, Jenova's distrubing appearance), everything had an unsettling atmosphere to it. FF10 was centered around death and was the first FF to off the main character in the end, with all its' tragic consequences (aside from gameplay, I consider X-2 a tragic consequence). FF12 reveals the world has been manipulated by a superior race and you kill off the only one who was willing to go to any lengths to stop it. Nice job breaking it, hero. FF13 strands ~20 million people on a savage and predatory planet and kills off another ~10 million. The saviours of the world are crystallized (e.g. dead), and the "happy end" it tries to evoke in the rather short ending only serves as dissonance. And 13-2 again offs the main character, most of the world, and for the first time in an FF game, the bad guy wins. No matter what you do. Actually, only Hope, Noel and perhaps Lightning are alive at the end.
Oh, and Tactics. You're branded a heretic, your name erased from history. After you saved the world. Ouch. In FFT Advance, you must destroy a world many found happiness in, including most of your friends.
Yeah, under the surface of chocobos and moogles, FF has quite a dark history.
X is the darkest. the whole game is about death suffering atonement and self sacrifice all for a short period of peace.
I wouldn't say X is at all about self sacrifice. I would say its about performing ones Duty. 2nd part about X, how often do dreams become reality (miracle)? Even if the dream eventually ends, it does not defer from the point it was a mircle to begin with.
Soldier's sign up to do thier part for thier country and feel its thier duty even if they know they will die (storming Normandy for example).