Love this series!

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Not all of them are in the same category as Amnesia or Penumbra.

I have played:

S.T.A.L.K.E.R. - Shadow of Chernobyl, Cry of Fear, Call of Cthulu: Dark Corners of the Earth, Afraid of Monsters, System Shock 2, Dead Space 1 (maybe), F.E.A.R. 1

Seen from Let´s Plays or heard good things about:

One Late Night, Bunker 16, Phobia 1.5, Five Nights at Freddys, SCP: Containment Breach, Silent Hill, Resident Evil (older Ones?), Babysitter Bloodbath, Outlast, White Day, Slender

Good Amnesia custom stories I have played:

White Night, La Caza, Tenebris Lake, The Great Work, Followed by Death, The Attic, Emma´s Story, Gary - Dark Secrets, Obscurity, Rain, Poisonous, Cannibalism, A Coward´s Debt, Nepsis, Deterioration, Insanity Nocturnal Confusion