With a Canon or other auto iris changing lens (no manual aperture control):
When you capture frames with a DSLR, there are two sets of images. One set is the Video assist "Live view" images. This is normally exposed, and the camera can by default artificially brighten the images.
The other set are your stored frames. You can look at these stored frames (the high quality frames) any time by going to the View> Stored frames menu.
If these images are dark, you need to open the Tools > DOP tool and make adjustments to the capture settings, so you have a correct exposure of the actual high quality "Stored frame"
The reason for the difference is the camera automatically adjusts the live view image, however the stored frame images exposure is locked.
You need to open the the aperture more, or make the TV (shutter speed) slower, to let more light into the sensor.
Note that in some cameras it is possible to have the live view simulate the actual exposure. This is a camera firmware menu option, and must be changed on the camera itself.
Manual aperture lenses (with an aperture ring that you can change by rotating):
From the Capture settings window when you start a new project, change the "live view exposure offset" to +10. This compensates for using a manual lens, and makes the live view closely match the actual exposure of the camera. We have a tutorial on lenses here.
Also, check out the View > High res viewer to see your high quality images at 1:1. You can step through them with the buttons at the bottom of the screen.