Why is my chocolate fudge not that dark?
It's possible that you need to add more chocolate, or use a different type of chocolate.  Dutch process cocoa has a much darker color than natural cocoa, for example.

It's also possible that the color is being lightened by microscopic air bubbles.  This can happen if you use a fluffy ingredient (such as marshmallow cream) or if you mix a lot of air into the fudge.  Although, I imagine it would take a lot of air to make a big difference.

If all else fails, try dipping pieces of fudge in dark chocolate.  I know that's cheating, but who's going to argue with chocolate covered fudge?  Sounds good to me!