The show was dark because that was what would have been realistic in that setting (the north) at that time of the chronological year (winter).
Winterfell lies in the north, and - the whole point of the chronology of the story - we are now in winter, where the quality of light is poor, even in daylight.
Therefore, outside, it is going to be dark, and dim, and hard to see in both day and night because we are now in winter, where the natural light in the north will be limited.
The series reflects this, and wished to use the sort of natural light that would have been experienced by such characters in a medieval setting during a battle in the depths of winter. And remember how much the books have made of the passing of the seasons, with a formal declaration of when autumn and winter have come to pass - this is important to the plot.
Likewise, the arrival of spring will be of equal importance and will herald the end of the story.
Even inside, in interior shots, it is quite dark. This is because, even for the wealthy, beeswax candles were expensive, and were used sparingly, except for celebrations and banquets, when being able to afford to light your castle/dwelling/palace indoors with the generous use of beeswax candles was a sign of considerable wealth.
I have been in castles where large mirrors are placed over mantelpieces; this was not for reasons of vanity, or of fashion, it was explained to me, but rather, it was intended to amplify whatever light - candle light - was available at the time.
In essence, the mirror reflected the light, thereby amplifying it. That the wealthy needed to be able to amplify light informs us that even the well off could not afford to be needlessly profligate with beeswax candles.