My favorite author is Robin Hobb - while her writing isn't precisely dark and gritty, it's in that same territory of GRR Martin's where bad things can happen to good characters. Character driven stories, with lots of flawed characters. Start with Assassin's Apprentice

I cannot recommend highly enough. Martin's my #2 favorite after Hobb. I saw someone else mention her, so I'll be the +2.
You might try The Lies of Locke Lamora - Gentleman Bastards series - by Scott Lynch - I really enjoyed the first book (haven't picked up the next two, yet). If you've ever read Raymond Feist's Rise of a Merchant Prince, it reminds me a lot of that. Confidence hucksters in a fantasy city, scheming to rob the rich. Good stuff. One of my favorites of the last couple of years.
Speaking of, even if you don't ever read any other Feist books (which vary in quality over time), Wurts & Feist's Empire Trilogy (starting with Daughter of the Empire) is really good in that same Martin sort of way - lots of scheming and intrigue and (literally) murderous politics.
Also will +2 the recommendation of Glen Cook's older Black Company books. Now that's gritty. Nothing like the point of view of mercenaries who work for the Dark Lady, and no real good guys or bad guys anywhere.
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Originally Posted by whitearrow
The Coldfire Trilogy by C.S. Friedman. Black Sun Rising, When True Night Falls, Crown of Shadows.
I always warn people that the first 10-15 pages of the first book is a bit tough to get through... but it will all make sense later 
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I'll mention, also, the Magister trilogy. Sorcerers powered on the random life force of others. Cool concept.
I've been trying to read the Malazan books myself - they're tough reading - I'm almost done with book 2, having read book 1 twice (with a break in between reads) to try and understand what's going on better. Makes Martin look positively straightforward.