I like Penumbra better than Amnesia, probably for a bunch of reasons. I did play Amnesia before Penumbra, and it's possible I like the latter better because I was hopelessly terrified of Amnesia, but I could actually fight back to some degree in Penumbra (at least in overture). Black Plague, however, was probably scarier than both Overture and Amnesia, at least for most of the middle portions. Probably a combination of 1) not being able to fight back, and 2) the monsters not disappearing after a while like most did in Amnesia.
I haven't finished Requiem yet, but so far my vote is
Overture>Amnesia>Black Plague for gameplay, etc.
Black Plague>Amnesia>Overture for scare factor.