I can't say for me either one is more effective, it's all all about the game surrounding it. The first Dead Space got incredibly tense and the stuff they did in Eternal Darkness was freaky as hell but like you said Condemned could be super creepy, or something like Amnesia. I think for me it comes down to what the developer does with it.
Regardless of the quality or quantity of scary titles in either perspective in the past, first person games are more capable of registering psychological distress than any other medium. Any design decision that creates further immersion or suspension of disbelief in a perilous setting is going to be scarier. What people have done with the medium notwithstanding, transposing your POV with the characters' is going to create a deeper reaction more easily. I want to see more than Amnesia:DD and Half-Life actually take advantage of this. :P
Definitely first person. I'm much more easily able to disassociate myself when I see a character from the third person. I can immediately lessen my own mental investment in any kind of perilous situation. As it goes for me, first person acts like an extension to my own perspective, while third person perpetuates my actual role of being onlooker into the fictional situation.
Both can be great in terms of tension it just needs to e done right. For example if you can kill these monsters or whatever is chasing after you it becomes boring rather quick. Tension in these games comes more from the fact that you MUST run away and hide in order to survive.
I'm not voting for either, because I think there are excellent examples in both categories. Clearly, it has more to do with mechanics, atmosphere and sound then perspective. Some third person games scare me as much as first person ones basically. Judging by the number of 1st person horror games, the industry has already spoken on this subject though.
While Silent Hill 2 & 3 managed to scare me to the point where I had to stop playing for fifteen minute stretches, I shat myself a little bit with Condemned: Criminal Origins.
So, first person. But, really it all depends on how good the developers are and how effective they can be with horror tropes.