I also recommend trying this out. First one is not scary at all if you're playing on easy difficulty since you can kill enemies. When I heard enemy noise, I equipped my pick axe and started to hunt them down
But Black Plague, my god it's scary... I remember the part before Library, I crouched the whole time while not in "safe rooms"
As for story, I also say Penumbra is awesome. I can't really compare to Amnesia since I was stupid enough to spoil the story before completing the game...
But if you have anachro(orwhateverit'scalled)phobia be warned - Overture is nightmare.
And on the other hand, 5€ for all 3 games at Steam. I mean, it's not that much for great games and Frictional Games deserves every penny they get.