Yeah, the second one is my favorite despite its flaws like not having a large variety of monsters. The story in that game is phenominal. I like that you actually have to think and figure out most of the plot yourself like a David Lynch movie or something. I also first played through that game when I was going through a rough time in my life, so the depressing nature the game presented was perfect for my state of mind.
I liked the third installment a lot too, I liked how the story was more straight forward than the first two. In other words, you didn't have to think to hard to get it. At the same time though, I didn't like it because I enjoyed pouding my brain to figure out the story. I appriciate SH3 explaining the first game though, confirming a lot of my theories.
All in all, it is a great series and I am very much looking forward to Silent Hill 4: The Room.