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I'm not really clear on the defintion of dark fantasy either (if such a thing exists), but based on the submission guidelines of magazines that explicitly state they publish dark fantasy, it seems to be fantasy which is borderline horror (which is already a blurred line since so many horror stories are also fantasy). I guess that means stories with clear horror elements but where frightening the reader isn't necessarily the main purpose of the story.

I don't have great examples of this, but I think the White Walker scenes from George R. R. Martin's A Song of Ice and Fire series often become dark fantasy. They can be quite creepy and they basically have zombies in them, but I wouldn't exactly call them horror.

Grim-dark, the way I understand it, doesn't refer to horror elements but to a sort of gritty realism in the story and the way it portrays humans and, thus, is a completely different sub-genre.

Joe Aberchrombie, who goes by the name Lord Grimdark, is probably the best example of this, but again, A Song of Ice and Fire falls into this sub-genre as well. These are fantasy stories with gray and often down-right mean characters, and even the heroes won't come out of a battle unscathed (neither phsycially nor psychologially). It's realist fantasy that usually contains a fair deal of violence. You could say it's a realistic depiction of the old-school action-adventure fantasy stories like Conan the Barbarian.