The 'Undead Nightmare' DLC features a torch which can be both used as a weapon and equipped at will to illuminate surroundings. Having completed the base campaign and likely all side missions twice, I've never found a comparable item in the core game. Interior locations are relatively dim during daytime and while the nights obviously are far from pitch-black, as in most open world games, a source of light would at least be aesthetically pleasing.
The sequel (Red Dead Redemption 2, which I haven't truly played at the time of writing) in turn includes a lantern, fulfilling the same purpose.
