I've said many times that I prefer Penumbra to Amnesia. Here I will outline why.
Penumbra has better puzzles in general. Instead of instantly figuring out what to do, you actually have to stop and think for a while. I like thinking. Not to forget that there are a larger amount of puzzles with multiple solutions in Penumbra. With that said, there are of course a few bad puzzles in Penumbra.
In general, Amnesia is much scarier than Penumbra. But Penumbra has something that Amnesia doesn't and that is patroling enemies. Patroling enemies keeps you on the edge and more tense than enemies that just disappear after hiding a while.
Another thing is that in Amnesia, you're being told the story in flashbacks, which isn't necessarily a bad thing, but for me this served to separate me from what had happened, i.e. making me a bit less immersed. Specificially I'm talking about (don't read if you haven't played Penumbra)
having a larger emotional impact on me and making me feel more immersed during those scenes in Penumbra.