EDIT: ^Don't listen to fighter or Hexer, I think they're talking about which game is funner to play, not which one is scarier.
Penumbra is definitely scarier. FEAR 2 is at heart an FPS, just with scary monsters and little naked girls popping up all over the place, generating black holes; it's like Resident Evil mixed with Halo.
Penumbra, on the other hand, is you running around with a flashlight as things try to eat you in the dark.
Also, what's with the tags? "hampas boobs"? "kitfox has a huge penis"? Is it opposite day?