The other thread is going horribly off-topic.

SH1 is what started it all.
SH2 is an amazing piece of storytelling in terms of characterization and development. It took the concept of Silent Hill and gave it a lot more depth.
SH3 is unremarkable.
SH4 continued 2's "more personal" story with an emphasis on learning about the main character's past as opposed to featuring a stereotypical evil cult. Oh the evil cult is there but only as a tool to explain why Walter does what he does.