I would agree that Call of Cthulhu: Dark Corners of the Earth is a good game, and has similarities with Penumbra, and both are highly inspired by Lovecraft. But I've said it before, and I'll say it again: It ends up becoming an FPS halfway through, which ruins the horror part of it.
I did see a flash point & click game which was VERY well made some months ago, though. It would be a rather short game, even compared to Penumbra, as it's only a web browser game, but still... Too bad I don't remember it. There are some interesting web browser games, though.