For me it's slightly at odds with traditional wisdom:
1 - Silent Hill 2 - love the lack of the usual big, core plot. Instead, we get a seriously freaky peak inside the mind of a normal guy with some big issues. Characters with depth, serious chills and the perfect mix of atmosphere and monster design that are completely meshed with the themes and Jame's subconscious. Also, Pyramid Head.
2 - Silent Hill 4 - I know most knock it but it's actually the closest in style to number 2. This time though there's a reversal most didn't seem to like. The main protagonist really is a plain, mild mannered guy, this time it's all about diving into the deeply troubled mind of a killer who at the same time is a victim himself of circumstances outside his control.
3 - Silent Hill 1 - still great, but for me it's too much the normal horror plot (if a great, freakishly twisted one) vs the more character driven installments.
4 - Silent Hill 3 - I thought this was pretty good, but it felt like a slightly weak wrap up of Silent Hill 1. It does have perhaps some of the best cut-scenes though and one truly great scare moment in a trapped room.
This is just splitting the hairs between the games, I thought 1 through 4 were all pretty good and all had some great moments. Origins was okay but felt like what a competent team would do with the material - ditto the HD effort. On Wii I found it okay but it didn't click for me - although the phone calls were great.