In the fictional universe of Warhammer 40,000, the Dark Eldar are a Kindred of the Eldar, an ancient and advanced race of elf-like humanoids. Their armies usually have the advantages of speed, though they are often lacking in resilience. They are the thematic equivalent of the Warhammer Fantasy Dark Elves, and indeed Dark Elves in general.
The Dark Eldar revel in piracy, enslavement and torture, and are sadistic in the extreme. Dark Eldar armies make use of various anti-gravity skimmers such as Raiders and Ravagers to launch high speed attacks. They strike with little or no warning, using an interdimensional labyrinth known as the Webway to traverse the galaxy safely and far more quickly than most races are able to with their Warp jumps.
The Dark Eldar are unique amongst the Warhammer 40,000 factions in the sense that they do not occupy many planets, but rather one dark city - Commorragh. They are mainly pirates, though are sometimes used as mercenaries.
Dark Eldar, like most Eldar Kindreds, make use of advanced technology, including anti-gravity devices, splinter weapons, dark matter (in the Warhammer 40,000 universe, something more akin to antimatter) weaponry, nanotechnology and psychic artifacts. While Dark Eldar do make use of psychic devices, they do not use psychic powers themselves but Psykers are treated as playthings in Commorragh, and given the twisted sadistic nature of the Dark Eldar themselves, this necessarily involves pain, torment and everything except sympathy for the psyker.
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Links: Wikipedia Entry - Drazhar Lexicanum - Drazhar Games Workshop - Dark Eldar