Penumbra is a first person horror adventure focusing on story, immersion and puzzle solving. Violence and combat is hardly an option - the player has to use wits to guide Philip through his final test, and this makes the series unique in offering a truly dangerous and terrifying experience.
The Penumbra series is one of the only horror series left in modern gaming - story driven, challenging, dark, and believe it or not, scary. People call Doom, F.E.A.R., Dead Space, and Resident Evil 4-5 horror games even though they're no more than just shooters. If you're looking for something more authentic and deep, then give Penumbra a try. Remember to play them at night.