Developed by the same studio that brought us Amnesia, Penumbra is an older project that many claim to actually be scarier than Amnesia. I'll leave that up to you.
All three games follow the same protagonist and exist in the same universe. The gamer plays as Philip in Overture, who firstly receives a letter from his supposedly dead father after the passing of his mother; then, Black Plague follows the ending of the first game into a new installment as an email sent by Philip to a friend; Requiem finishes up the series as Philip writes "Kill Them All."
All three games are available on Steam.