Penumbra focuses more on the story then Amnesia. You can defend yourself in Overture, but not in Black Plague (well, you could kill the enemies by hitting them enough with objects, but that ruins the immersion). Amnesia focused more on the scares. I personally found the Penumbra physics to be more polished then Amnesia's. For instance, if I turn a valve, it didn't get stuck. If I lightly push my mouse forward when I am holding a door, it doesn't fly open like I'm on steroids.
They both had their scares. For instance, in Overture,
Doesn't compare to the Guest Room in Amnesia though. QQ