The Dark Sun of Athas is a campaign setting, like Greyhawk, Eberron, Forgotten Realms, or Ravenloft. It is, indeed, one of the bleakest settings in D&D, if not in all of fiction. The world is a desert, stripped clean of fertility by arcane magic- so your wizard's getting lynched. The civilized world is ruled by the Dragon-Kings, immortal wizards of vast power using arcane magic to kill the world faster and become dragons, which don't exist in Athas. EXCEPT the Dragon of Tyr, who is basically evil incarnate. Every bit of wildlife is psionic, and will kill you at the drop of a hat. The halflings are savage cannibals, the elves have no forests, the dwarves are a slave race, and gnomes, goblins, and orcs were wiped out in genocidal wars millenia ago. The art of forging metal is considered a lost art of a more advanced time.

Athas is a shithole. Such a shithole, in fact, that the average build for NPC's is "Third Level PC class." See that no-name beggar? Third level psion. See that slave? Third level Rogue. See that paladin? No you don't, Athas is such a shithole that the gods have abandoned it altogether. It's a blasted hellhole of a world, and there are no heroes- a Dark Sun game is about surviving.