Hard question, but I kind of find Penumbra scarier.
As mentioned here, the setting is a bit more believable. I mean we've all been in hospitals and Black Plague's place looks kinda like one. It's a place that feels real and.. I don't know, it just is more scary. Also, the enemy in BP is scarier than Amnesia. Hell, they even have flashlights. Penumbra also has this total-darkness. There's no ambient light like in Amnesia, it's total pitch darkness if you run out of light. Not as realistic as Amnesia, but doesn't make it any more comfortable
Then again, Amnesia has sanity system, which makes it a bit scarier. But then again, Amnesia's graphic style is more cartoonish, so it's a bit less realistic and all.
Hell, really hard one, but I guess I'll go with Penumbra, even though Amnesia managed to scare me like nothing before.