Syrion: By the way, to anyone looking for more, I've heard that [url=http://en.wikipedia.org/wiki/Call_of_Cthulhu:_Dark_Corners_of_the_Earth]Call of Cthulhu: Dark Corners of the Earth[/url] is quite similar, both in game design and quality. I haven't played it myself, but from what I've seen and heard you also rarely get to actively fight monsters, at least for a good part of the game.
Oh man, the protagonist in Call of Cthulhu: DCotE has a horrible actor doing the voice. So bad that I had to turn the voices off and read subtitles only. However silencing the voices also deprived me the other characters' performances who have much more bearable voices.
Besides the main character's bad voice though, a lot of other little things bothered me too much to finish that game. The contrast in that game just seemed a little too washed out if you lighten the gamma enough to see things. Another nitpick is the movement speed that never felt quite right for an exploration adventure game.
With a few fixes, the immersion would improve greatly. But as it is, I'd still rather play Penumbra with its sense of grim isolation from the rest of the world atmosphere than the overtly boogeyman story of CoC:DCotE.