This book series is of the "Choose your own adventure" genre. As far as I remember, it was of the fantasy horror genre. The ones I've read had plenty of either bad ending or "you die" paths. One part I remember is the main character being in a library and having the choice to insert one of a few different-colored orbs into the eye socket of a gargoyle statue. Another part that I remember involves a character simply called the Dark One. In one of the bad ending paths, the Dark One assumes the form of a squid-like creature that beats the characters to...something important by swimming towards it.
I don't remember anything about the time period it was set in, but probably not Victorian era. Maybe 20th century at the earliest? I remember the cover had the words "Pick your path" written somewhere, which is how it captured my attention in the first place