Who led him, and to where?
Ibn Ezra: The enemy led him in captivity from his place to a place of darkness.
Why does it say both "Nahag" and "va'Yolach"?
Palgei Mayim: "Nahag" applies to leading via the hand. "Va'Yolach" applies to one that they let him walk in front, and do not conduct him. The Navi saw that Hashem leads him via the hand, and He is Molich Yisrael.
Why does it say "Choshech v'Lo Ohr"?
Rav Sadya Gaon: [He led me] in darkness, without light.
Ibn Ezra: It is a place of darkness, which hope for light.
Ri Kara: Every darkness has an end. At the end of every night, dawn comes - except for my Galus. Egypt was exiled - "mi'Ketz Arba'im Shanah Akabetz Es Mitzrayim" (Yechezkel 29:13). Also every nation that was exiled from its place, in the end it returned. Yisrael were exiled many years ago, and they are still in their Galus.
Palgei Mayim: I saw that the Holachah is in the strength of darkness; I did not see any light. This proves that the afflictions are of anger, and not for Refu'ah.