Silent Hill (original)
Probably the best horror game of all time. The "only" thing hurting it (and not by much) are the extremely dated graphics. An updated Silent Hill would probably be the scariest game of all time.
Silent Hill 2
Had a nice oppressive feel to it, I might have appreciated this game more if some idiot hadn't spoiled it for me.
Silent Hill 3
Pretty weak, and overdid the horror/gore from the getgo.. so it was more of an action game than a true survival horror game. Lesson #1 for horror: Don't overwhelm the audience so they become desensitized.
Silent Hill 4: The Room
Originally planned as a NON-Silent Hill game, but changed and updated durring production. While the concept is good, and the feeling is good, the "compartmentalized" NWN-ish gamezones kinda make the game feel artificial.
If I had to rate them in order from best to weakest...
SH -> SH2 -> SH4 -> SH3
SH3 was a direct sequel to SH, and it's not bad, but it isn't horror, more like a splatterfest.