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Christ cast out some demons, "We are legion", threw them into some pigs and ran them off a cliff. Where did they come from?

From 1 Enoch (Charlesworth's Pseudepigrapha):

"But now the giants who are born from the (union of) the spirits and the flesh shall be called evil spirits upon the earth, because their dwelling shall be upon the earth and inside the earth. Evil spirits have come out of their bodies. Because from the day that they were created from the holy ones they became the Watchers; their first origin is the spiritual foundation. They will become evil upon the earth and shall be called evil spirits. The dwelling of the spiritual beings of heaven is heaven; but the dwellin gof the spirits of the earth, which are born upon the earth, is in the earth. The spirits of the giants oppress each other; they will corrupt, fall, be excited, and fall upon the earth and cause sorrow. They eat no food, nor become thirsty nor find obstacles. And these spirits shall rise up against the children of the people and against the women, because they have proceeded forth (from them).

"From the days of the slaughter and destruction, and the death of the giants and the spiritual beings of the spirit, and the flesh, from which they have proceeded forth, which will corrupt without incurring judgment, they will corrupt until the day of the great conclusion, until the great age is consummated, until everything is concluded (upon) the Watchers and the wicked ones. And so to the Watchers on whose behalf you have been sent to intercede - who were formerly in heaven - (say to them), 'You were (once) in heaven, but not all the mysteries (of heaven) are open to you, and you (only) know the rejected mysteries. Those ones you have broadcast to the women in the hardness of your hearts and by those mysteries the women and men multiply evil deeds upon the earth. Tell them, 'Therefore, you will have no peace!'" - Chapter 15, from verse 8 and all of Chapter 16

To sum it up, the book of Enoch tells us that the Watchers are the fallen angels, the ones who sinned, who have been chained up for the final judgment. That would be all of them. They came from heaven and were on assignment to take care of Adamic man on earth.

The children that the Watchers had with mortal women were the "giants" - who were killed. Their spirits are the evil spirits, the demons, the unclean spirits who are not allowed to leave earth because they were born here out of the unholy union of angel and mortal women.

why did they beg Christ not to cast them into the darkness?

Probably because the darkness is where their fathers, the Watchers are chained for the final judgment.