I *love* Silent Hill. My favourite one is indeed the second (except for the thing that it's a bit too short, but the superb surreal atmosphere and character design makes it an excellent game!!!), then goes the first (excellent plot, atmosphere and character design). SH3 and SH4 are good, and both have great moments, but they're not as good as the first two.
I've played also SH for GBA, which isn't that good (basically it's a text based game, so there's no atmosphere..), and the demo of SH Origins for PSP. Can't wait to play the full version
