I would venture to say it was a thick fog.
The ibn Ezra descibes his experience of a Torah-like Darkness during his many trips to the ocean.
Also the Ramban (Yisro 19:9) says that the "thickness of cloud" on Har Sinai is synonymous with the "arafel". In Va'eschanan (5:19), these 2 terms (anan and arafel) are used to re-describe the scene on Har Sinai. The next verse describes the sound of Hashem coming from the darkness. This seems to indicate that the darkness on Har Sinai was a thick cloud.