The very best 'dark' rums are made in the same way as a good whisky - they are matured in casks previously used for sherry. Note that this produces rum that will be the same colour as whisky, and which is generally of better quality. The other class of really dark rums such as Woods, Captain Morgan, (and the OVD Andrew mentions), owe their much deeper colour to the addition of differing amounts of caramel and molasses. Which type is preferable depends on individual taste, but I'd say Pussers rum is a pretty good compromise between the two.