Well I played the Penumbra games before Amnesia and i gotta say, they were great and very thrilling with the worm chase scene in Overture and Clarence chasing you in Black Plague. But Requiem, well ehhhh, I stopped midway of playing cuz it wasn't on par with the previous games of the series. But I overall felt it creepy and well I guess I sorta panicked even in Overture because any small slip the dog would run away and call others, then I'd be fucked. And in Black Plague, the alternate reality scene really fucks your mind. I really enjoyed it overall and the story-line and the infected were some creepy weird things, and I was terrified the whole time. I gotta say though they did a better job in Black Plague than Overture but overall Penumbra was great.
Now Amnesia, they took it to another level of gameplay, sure they didn't have monsters with flashlights, nor weapons as in Overture, but it was an amazing game to play. The noise when you are spotted really makes you panic and you know that looking back will be your worst mistake ever if you have a Brute after you. That's another thing, from the Gatherers to the Brute, hell even the Kaernk were greatly designed in the way they interact in the game, and their physical design, very creepy and wtf-ish. (I just hope the Pig from Amnesia: A Machine for Pigs is equally great). The story was great but I thought it focused more on the atmosphere and making you want to go hide in a corner and stay there. And the ability to play custom stories makes the fun and scares never ending.
Basically, they are both different games with their own creepy qualities yet they both let you become immersed in the gameplay. You can't really compare them as it is more about your own personal tastes. I gotta say though, they were both amazing and great, I've had to quit between sessions of playing because I got creeped out.