That Pyramid Head scene was awesome. I really liked SH2, but I wish it had gone more in-depth into the background of the story, like the prison history etc. I like that in video games - plenty of reading material. I have the SH4 too, and it's kind of cool, but I hate not being safe @ your ROOM/HQ. Haven't played 3 yet. I look for it when I go to GSTOP, but those trips have been rare since my 360 blew it's "exhaust" system.
SH2 was less about Silent Hill and more about James Sunderland. It was all about symbolism. A lot of people argue it doesn't completely make sense, but once you understand James' mind and his past, you can pretty much see everything for what it's supposed to be. Especially after you play Maria's scenario in "Restless Dreams", called "Born From A Wish". It's a short add-on for a re-released version of the game.
As for SH4, it originally wasn't even intended to be a Silent Hill game. Much like Super Mario Brothers 2 was originally something else, but changed into a franchise sequel last minute. It's an AWESOME concept. Many people argue though that it's the weakest game in the series, because the second half is basically re-visiting everything from the first half with a female escort. It was somewhat tedious IMO, but definitely worth it for the ending.
As for SH3, it explains A LOT about Silent Hill itself. It's pretty much a direct sequel to Silent Hill 1. I definitely recommend picking it up when you get the chance. Heather Mason is cute, too.

But if you really want to get down to the mysteries of Silent Hill, play SH1 and SH:Origins. Origins explains a lot about "The Order"..(the cult Dahlia Gillespie worked with to birth the "God" Samael and bring eternal "Paradise").
By the way, if a mod wants to split this off into a Silent Hill thread in General Discussion, that'd be nifty.