I prefer Amnesia, and here is why :
1] The custom stories - penumbra doesn't have that. I believe that a successful game must have some way to continue playing it, aside of the main story line. For example - why is WoW or Diablo so popular? I think it's because you can keep playing after you have ended the story
It's just an opinion so don't hate me for that :c
2] The enemies - you said penumbra's monsters are creepier. I must say that I don't agree with that. Let's see - for example the dogs. They aren't that creepy and you can actually kill them! A game in which you can kill the enemies isn't comparable to a game where you can only run and hide. Also as stated Amnesia's enemies are faster than the player and kill you in 1 or 2 hits. I think anything can be scary as long as it can kill you and you must hide from it. If for an example you play a game in which your main enemy is something actually kinda cute (for example a lollipop) you will still fear it when it has the 'target locked' icon on you
3] Overall atmosphere - this one is the most important in my opinion. Both games are scary as hell, I think most people would agree. I honestly think that it's a draw here, since in penumbra monster don't dissapear while in amnesia, if you go far away from the monster, it just vanishes which kinda dissapointed me. It's supposed to be scary, cmoon! BUT! In amnesia as stated above, if the monster sees you you are a goner. So it's a draw here.
I personally prefer Amnesia but Penumbra is awesome as well. Now I just hope to see some even better Amnesia than before in machine for pigs