I have serious doubts this is what you're looking for.
I insist on my recs of Angelique Encens (which you cannot find anywhere here on europe on-line in a logically sized bottle, but only on Ebay in decant form)
Also 154 Jo malone (very woody) and Pomegranate Noir (crimson).
Etro's Messe de Minuit is also classic for this (available at Beautyworks, kolonaki and Kifisia) , as is the Incense series by CDG (Avignon especially), but it is much more herbal in the climate you're living in. I think you will see that there are great differences between northern european and american people's perceptions from your own on MDM. Climate does play a role in this one. (I smell mostly sage and must, not dry incense and cool stone)
Ambre sultan suffers the same fate in our climate. It's sharp herbal here, while it takes another turn in colder countries.
Arabie is the classic arabian souk with lots of dried fruit. I would suggest this for a warm, sweet scent that makes you feel an odalisque.
Fumerie Turque is deep and soft at the same time. Try it, it's a very good tobacco scent with a milky and booze note in there)
Take care of the Diptyques; they are not easy. (sniff them at Body n' Soul , Kolonaki) L'autre is especially foul for many, so is L'eau trois.
I would suggest Essence of John Galliano from their line which is a rich, heavy incense, alas a room spray. But safe to use on clothes if you want (I do) ;-)
Spicy rich orientals like Cinnabar and Opium have a warmth and sizzle that is *not* redolent of dark and sick times like the middle-ages. At least to me....
I love them to bits, but they are cuddly and festive.
Un Lys is glorious, heavenly, no doubt about it (love it madly), but it is not dark or deep, not even close. It's the last dying breath of an angel in Paradise. If that's what you're going for, buy without hesitation.
Agent Provocateur and Magie Noire seem like fitting suggestions to me. But I'm sure you have tried them already?
Black cashmere, which you have already :-) , is the best suggestion....