Penumbra definitely had the better puzzles - there isn't much you can do in a castle without electricity.
Amnesia is easier to get into in the way that it flows well.. the pacing is much smoother and for this reason I'd say Amnesia is better if you want to introduce someone to these types of games.
Overall I think I prefer Penumbra, mainly for the story. However it is easy to see how much Frictional have improved when playing Amnesia.