I haven't read all of the posts in here, but I do have something to say.
For me, Amnesia was by far the best one.
Pros: Much more atmosphere. I had to quit playing at one point because I was too damned scared to continue. No weaponry at all. I thought the story was intriguing enough. The real-time flashbacks really helped immersing me in the story.
Cons: Monsters dissappearing after they killed you once: bad idea. Kinda ruined the gameplay. Too short. Also, the storyline arrives at a clear end, thus destroying chances of a sequel (I so would have loved another game in Amnesia's universe).
Penumbra was fun with an interesting storyline. I dare say I enjoyed all three of them (even the last one). The bad thing about the first one was having a weapon. The player should have been all naked with no chances of survival if encountering an enemy. Because right now, I had just so many painkillers I could just rambo into a place, kill everyone and... poof. There goes the scare. Of course, you could just ignore you have a weapon... which I did, in the end, otherwise, it would have been too easy.
Well, they ended up adressing the problem in the second one anyway: no weapons at all. I did have a couple of scares, but overall, Amnesia is the one that litterally made me melt on my chair.
Please. Another game like Amnesia. P-p-p-p-p-p-pleeeaaaase?