Ok, here's the deal. I don't think you should pay much mind to people who say you can't learn why this game is good, why it can be scary.
The very fact that you have responded multiple times to this thread, that you started it in the first place shows that you are truly curious why we like this game so much. Maybe we can't make YOU like it, but we can share our impressions with you, which seems to, at the root of it, be what you are interested in.
I picked up Amnesia recently when it was on sale as well. I had heard good things and decided to give it a shot. Loading up the game my first impression was that Topping's (the guy who voices Daniel) delivery was a bit off, but was more than adequate to the task of setting the mood.
This is not a game you play to win, in fact one could say that all three endings are a bit of a loss. I'm not sure if they planned it out this way or if it is simply so pervasive in the genre that it came across regardless, but I felt like I was playing an H.P. Lovecraft story. Wandering around an old castle, not sure of what I was supposed to be doing, unable to escape and suffering from some sort of massive mindcrushing headache everytime I went into a dark room was definitely a different sort of experience than I'm used to in video games.
At first the pacing of the game was slow to invest me. People are right it does take a bit to get immersed. Mostly this is due to a lack of mechanics. At the start of the game you can do very little, because there is very little to do.
This guy has amnesia, he needs to stop someone, he can't remember anything. At the start Daniel is simply not an interesting character, this could have been softened somewhat by Topping's performance, but I'm afraid he wasn't up to the task. Instead we develop an emotional attachment to Daniel as we discover more of his diary and read more of the little memory snippets in the loading screens.
What this gives us is a sense of scope. Whatever Daniel has gotten himself into is big, it is scary, and there is apparently some sort of great evil involved.
Then we begin, slowly at first, to see the evil. We might hear a roar, or see a shadow flicker...was that the monster chasing Daniel or was it merely a trick of the light?
Back to mechanics. Once we've gotten to know the character the game gives us mechanics to defend him. We can NOT defeat any of the monsters in this game. Daniel is fragile. He can hide, or outsmart his foes, but he can't beat them. This lines up nicely with the Lovecraftian vibes of horror. The most important mechanic of the game is the interaction between light and sanity. As Daniel's sanity decreases he becomes sluggish, more difficult to control, and his perceptions become deceptive.
Resource management becomes key here. We only have so much oil, so many tinderboxes...yet if we don't light this hallway, or that room, we'll slowly lose our mind and the game will be more difficult. If we do use the light than we can see what we are doing...
...and the monsters can see us.
Having to run away from a monster, it's heavy footsteps echoing...knowing that if I turn around it will catch me, that the door I've slammed shut will only stall it for a few moments as it barrels its way through. These are the things that make Amnesia scary.
I could go into more detail, but I just realized I typed like, nine paragraphs. So I think I'm done for now. I hope this helped you in your quest for knowledge, and I implore you to give the game a chance. If you don't like it, the most you'll have lost is the money you already spent, and ten hours tops.