Darkness is used a bit like a clock in The Return of the Native – it signals the time of day as well as the time of year, as when we hear about "the dark hue of the winter period, representing night" (4.1.1). But, aside from letting us know the time of day and year, and other than making the first few chapters of the novel especially creepy, what's the deal with all the darkness?
Hardy begins with and hits many of its dramatic high points (namely death scenes) at night. Darkness becomes a location for secrets, danger, and death. So darkness does a lot to set the overall tone of the novel. If the novel had started off with a scene of sunshine and rainbows, we'd expect something very different. Instead, we get clued in from the get-go that this is not going to be a happy read.
Darkness is also tied very closely to Eustacia's character, especially her hair:
To see her hair was to fancy that a whole winter did not contain darkness enough to form its shadow: it closed over her forehead like nightfall extinguishing the western glow. (1.7.2)
Eustacia's hair represents winter and night here, once again linking time and darkness. The image of "nightfall" covering Eustacia's forehead also alludes to how moody and depressed this girl is. Eustacia has a rather "dark" personality, and her outward appearance reflects that. Her outward appearance also reflects the heath at night, which is a place of mysteriousness and danger. In the sentence about Eustacia, words like "extinguished" and "shadow" have a negative connotation, or meaning, and imply that the darkness is somehow dangerous and bad.
So darkness isn't looking so good here – it seems kind of shifty. But it also represents another, less negative thing in the story – the past. Once again, darkness is tied to time, but in this case we're talking about ancient history. Most of the references we get to the ancient past occur at night, sort of literally connecting us back to the dark ages (check out the references to "ancient bonfires" at 1.3.7). But the ancient past itself is sort of automatically tied to the idea of death and loss, and it's often presented in a creepy way. Overall, darkness symbolizes a lot of different things, from individual character traits to ideas of time. But, above all else, darkness functions as a sort of tone-setter throughout the novel and generally creates scenes filled with foreboding, or warnings of doom.