Maybe I can formulate things better, now that I've slept for three hours:
Show, don't tell is considered a superior technique in movies, but it seems less prominent in games.
Half-Life 2 did a great job of showing instead of telling: They made us an eye witness to police abuse, put you in the middle of a police raid, had you explore just what had become of an area after a headcrab shelling (and even these things were all shown from inferior third person perspectives).
Now imagine what Half-Life 2 would be like if you were instead put to roam around non-descript corridors while picking up notes describing these things in text.
That would suck.
Also, there is a huge unexplored depth in level design. If you put the effort of a forensics analyst into your blood splatter placements, then I'm convinced that most people will notice and come to their own chilling conclusions instead of you telling me what happened in notes. Similarly, if you design (or steal) floorplans for your buildings, the player isn't left wondering where they are, what purpose this room has in the story, and what they should expect beyond the next door. The more an environment makes sense, the more "four-dimensional" the space becomes, and the more story it will tell.
Let's say that you have a puzzle where you need to fix the power in order to open a powered door. If you had enough of a reason for the previous locked doors to be locked, then the player would trust the level design enough to notice that this door should open if you press a button. They will then also notice that the lights are out too. Then they will follow signs that point to the generator room, and at this point they will already have the idea in their head, that in order to open that door, they would need to restore power. At least, they would like to restore power in order to see better, and not feel cheated if they overlook the door. With good enough level design, notes and objectives become superflous. Instead they are created as a first person experience inside the players head, creating an immersion that will invite horror directly into the players head.
...but from Penumbra back to Amnesia: This means that you should not be informed that your name is Daniel, or that you have amnesia, or who Alexander is. In fact, Alexander should probably be removed from the game completely. You just wake up in a castle, for some reason, obviously not remembering how you got there or your name. You walk around the mansion and explore more and more dangerous areas. You do this as the player because you are curious and want to be brave, but at the same time you are doing so at your own peril. If some giant worm comes and bites your head off, you feel that you would kind of earn that fate. (Yes, I'm also saying that if you put a huge tunnel lid with worm slime, as an alternate path to a safer one, then I certainly wouldn't complain to suffer instant death for my stupidity. That would be an awesome horror experience, as long as I could read the figurative signs beforehand.)
As you explore more and more of the castle depth, you will first hand marvel at how deep the depths are, and conclude yourself that the mansion is an obvious front for a more sinister operation. Something involving capturing people and experimenting on them, judging by the prison cells and the torture chambers.
You will never be involved in Daniels guilt trip, never concern yourself with Alexander, never have your focus be anywhere else than you trying to comprehend the unknown that you are exploring.
That is fear, ladies and gentlemen. ...and what's better: It won't be Daniel roaming around the mansion. It will be you.