I think it's hard to say which was the better out of the 2 games. Amnesia has an amazing atmosphere, great lighting effects and the element of survival. But Penumbra has the horror style, but features more challenging puzzles as well as surviving (but you can defend yourself)
I've only played most of Overture and seen a bit of Black Plague, but I think Penumbra has the edge over it as I enjoy doing the puzzles, but doing them in the under pressure from the dogs or worms chasing/hunting you, makes the game so much more intense.