A Dark Jedi is simply a Jedi Knight that has fallen from grace, given in to negative emotions such as anger and hatred, and is now a threat to the galaxy as opposed to a protector: such Jedi include Asajj Ventress, Brakiss, and Alema Rar.
A Sith is an actual order, just like the Jedi Order, with its own indoctrination and training, terms and techniques. Sith hail from a tradition, as opposed to simply being Force Sensitives that have gone over the deep end. Old Sith include Naga Shadow, Exar Kun, Darth Revan, and Lord Kaan. After much of the large Sith Order around 1000 BBY is destroyed, then Darth Bane, the sole survivor, institutes the "Rule of Two" that says there should only be two Sith, a Master and Apprentice, which includes Bane, Darth Zannah, Darth Sidious, Darth Vader, Lumiya, and Darth Caedus. Finally, a new Sith Order learns long-forgotten secrets and rises in 130 ABY under Darth Krayt.