My review on BOTH games.
Penumbra (I'm not including requiem) is a more slow paced, atmospheric phychological survival horror compared to amnesia. But Amnesia's specialty is clever puzzles and tense chases. In terms of story penumbra beats Amnesia but that doesn't mean Amnesia wasn't far behind, the thing about Amnesia's story can be summed up in one sentence: Kill Alexander. Penumbra's story starts off like that but then starts building up into something bigger. Which I liked, personaly.
Another thing I would like to comment on, would be the encounters with the memorable enemies from the minds of Fricional Games. Amnesia's encounters are almost all scripted. With Penumbra on the other hand, the Enemies patrol around a large area and never go away. This introduces an element of unpredictability, so you don't know when they will attack or even where they're coming from. But that changed in Black Plague where since you could not kill the enemies, they created more scripted scenes to perhaps reduce the difficulty and repetitivty of constantly hiding in the shadows.
As a conclusion, I think it's not about which is better, it's about which one is better for your tastes. For example, Amnesia for adreneline Junkies and Thrill seekers. Penumbra can give those kicks, but I think the games are more about story atmospere and puzzles. If Frictional continue doing the best of both like this, their games will never get old.
Thankyou for your time.