At one point near the end of the game, you have to choose a reality: either one in which you are mentally ill and riddled with hallucinations, or one in which the Darkness is trying to trick you.
My (obvious) choice was to throw myself off the Asylum roof, which seems to have been
the correct choice. As you're falling, the illusion fades, and the Darkness voices its displeasure. You then go to hell and a bunch of stuff happens. Go figure.
What would have happened if I'd chosen the "stay with Jenny" option instead?