I run a fairly dark, gritty campaign of horror fantasy in my own world. Here's how I break things down:
Violence- a decent amount of violence, but not hack-n-slash. We do describe violence in detail, and often slap in extra combat penalties for slipping in blood, pain, etc. No one has a really weak stomach, so we use graphic descriptions, but nothing too over the top.
Torture- always used by NPCs, and it gets pretty gruesome at times. From mundane historical forms of torture, to ingenious magical ways to inflict torment- it runs the gamut.
Morality- Morality is grey most of the time, but occasionally something truly evil crops up, often potent enough that it seems overwhelming. The BBEG isn't some swaggering moron who charges into situations, he is usually cautious, and if the party tips their hand too early, he tries his utmost to eliminate them. I often present characters with moral dilemmas- sometimes with no obvious best thing to do. Truly "good" prople or powers are rare, and are often mistrusted or persecuted by others.
Sex- PCs have relationships, but no sexual scenes are ever played out. I am lucky to have players who don't feel they need to have their characters go whoring, so we don't deal with that. That said, several adventures over the last 10 years in this campaign have dealt with NPCs who were abused, tortured sexually, or who have disturbing fetishes or kinks (severe pathological stuff from the DSM). This makes the players uncomfortable sometimes, so its not described in detail, but I'll add it when I need some extra "oompf" for a really nasty NPC.
Magic- magic is a dark affair in my world, and some spells require some very dark acts to cast. Example- using the boiled fat from a child to fly, or a fresh pineal gland from a human for some divinations.
Language- oddly enough, there is very little cursing at my table, even OOC. I have no problem with it, just that when we start gaming, people get immersed in their roles enough that they don't think to realy cut loose. Of course, there is always the "Oh $&*!" when a really nasty mini get plopped on the table.
Religion- religious strife plays a big part in my game, especially between different sects serving the same deity! We don't really touch on real-world relgion, but the fantasy religions we have created are dealt with in some detail.