Silent Hill 2's all right, but it's sure as fuck not scary. All the monsters move at about 1/4th the speed James does and die if you spit on them, so, where the fuck's the actual threat? It's all ambiance and no payoff. Pyramid Head's freaky, I guess, but he literally only shows up in gameplay about 4 times. I was expecting more like a rapist Scissorman who'd follow me through doors and shit, which is how everyone described him to me. I was a bit disappointed.
Anyway, if you're having trouble getting into the series, start with SH1. It's easily the best and scariest Silent Hill if you don't mind the dated graphics and slightly goofy/completely disinterested voice acting. I just bought a hard copy, in fact; even though I know what's in the hospital it still makes me shit my pants every time.
Here's a jury-rigged PC port. You should play it!
http://thepiratebay.se/torrent/3573553