'An Ogre trusts his club, and will only eat it in the direst of circumstances'. Rhinoxen Lifting. Hell, Ogres in general.
Fantasy won't be grimdark so long as there are Ogres in the fluff.
I really like the fluff for Fantasy as it feels like battles are profound due to the world being just that; a world, not an entire galaxy. However, for the same reason, I dislike the current Fantasy meta (c'mon, how many Wizards in the fluff are Level 4? They're supposed to be rare and vastly powerful, not a dime a dozen).
Characters in Fantasy also mean more to me in lore as there is more 'you' in your character - in 40k, I'll take a Librarian with Mastery 2, Divination/Telepathy, and Terminator Armour if I'm running Deathwing. This appears to be the standard loadout that Company Masters everywhere give to their Librarians, often 2 to a strike force. Fantasy, I can run even just a Bruiser as a tank (Heavy Armour, Enchanted Shield, Dragonhelm, Talisman of Endurance), a challenger (Giantbreaker, Heavy Armour, Brace of Ogre Pistols), a unit-killer (Sword of Bloodshed and Enchanted Shield), pretty much however I want, and he'll have a story - unlike 40k, he's not just another dude in another army. This makes the setting less grimdark and a little more personal - faceless Guardsmen die, that's a statistic. My Tyrant dies? That's a tragedy.