The Darkness is an entity made entirely out of dark matter. It consumes the fears & nightmares of beings in order to manifest itself in our realm. The darkness originates from a parallel universe (designated Universe -1) compsed entirely of dark matter; this universe originated from our own during a matter - dark matter collision moments after the Big Bang.
The origin of the darkness is unknown, however there is a legend revolving around the location it occupies which may explain it's existence. Several centuries ago, an area at Lake Pocotopaug on Earth intersected with the same area on the dark matter Earth causing an interdimensional rift to open.
A tribe at the lake mistook the rift as the anger of thier diety, the Great Spirit. To appease the Great Spirit, the chief's daughter threw herself into the lake.
She supposedly fell through the rift & came into contact with the dark matter in the parallel lake. Her atoms started to merge with the atoms in the lake & of the rift, forming sentient darkness.