There seems to be a pervasive theme of "light vs. dark" that is symbolic of religious good and evil. Try to find at least one example of this in the story.

It is important to note that Catholicism is evoked multiples times in the text (the dead priest, the convent, the fact that the story is set in Ireland, etc.), so religious imagery will likely be Catholic in nature.
The most obvious example of dark imagery referring to religion occurs at the end of the story:

I heard a voice call from one end of the gallery that the light was out. The upper part of the hall was now completely dark. Gazing up into the darkness I saw myself as a creature driven and derided by vanity; and my eyes burned with anguish and anger.

All of the narrator's hopes of impressing the girl he likes were tied to being able to bring her something from the bazaar. Darkness is often symbolically related to the religious or Catholic concept of despair (the point at which the person has lost God's grace or the promise of heaven). As the narrator is plunged into darkness, he loses the last chance to purchase a souvenir for the girl, and he is left with only his darkest sinful emotions.
As a sort of counterpoint to the religious darkness, the language describing Mangan's sister often uses imagery filled with light. For example, consider the following passage:

Or if Mangan's sister came out on the doorstep to call her brother in to his tea, we watched her from our shadow peer up and down the street. We waited to see whether she would remain or go in and, if she remained, we left our shadow and walked up to Mangan's steps resignedly. She was waiting for us, her figure defined by the light from the half-opened door.

The boys are literally in the shadow (darkness), while Mangan's sister is illuminated by the light of the open door. The fact that this girl represents light makes the ending even more poignant. The narrator is left in darkness and emotional despair when he loses the literal light as well as the metaphorical light (represented by the opportunity to impress the sister).

There's not much light in this story, but what there is tends to be associated with Mangan's sister. For example, it is when the young people, including the narrator, play outside at dusk in the light of "feeble lanterns" that they see her, with "her figure defined by the light from the half-opened door."
Later, Mangan's sister will ask the narrator about going to the bazaar, Araby. Again she will be lit:

The light from the lamp opposite our door caught the white curve of her neck, lit up her hair that rested there and, falling, lit up the hand upon the railing. It fell over one side of her dress and caught the white border of a petticoat, just visible as she stood at ease.

However, at the bazaar, which the narrator has conflated with Mangan's sister as all that is exotic, romantic, and representing an escape from everyday life, the imagery is dark and dismal. This literally reflects that the bazaar is almost ready to shut down by the time the narrator arrives. Symbolically, as the narrator's hopes are increasingly dashed, the hall in which the bazaar is held becomes darker and darker, until:

I heard a voice call from one end of the gallery that the light was out. The upper part of the hall was now completely dark.

Light in this story is associated with hope, a strong Christian tenet, while darkness is associated with hopelessness and a sense of alienation, both signs of being far from God.

When the narrator eventually makes it to the Araby bazaar, he notices that half the lights are out in the gallery. He listens to the English girl flirting with the men at her booth; he hears one of them accuse another of lying. Again, he remarks on the "dark entrance to the stall." Finally, the narrator wanders away from her stall, and he finds that the main part of the hall is totally dark now. Looking up into the pitch black, he says, "I saw myself as a creature driven and derided by vanity; and my eyes burned with anguish and anger." In this way, then, sinfulness does seem to be tied to darkness. Vanity is a sin, and the narrator realizes that his hopes that the world would somehow make way for his feelings for Mangan's sister were, indeed, vain. He seems, in this moment, to lose his innocence, a state of maturity also associated with sinfulness, and because he's standing in the darkened hall, the darkness is ultimately tied to this loss.