I've never played it either, but I have watched entire playthroughs of the first 3 Silent Hills. (On
http://www.youtube.com/user/L0rdVega . The guy is a rather pompous ass, personally--or at least his LP persona is--but his product is very, very, VERY good.)
Here's the thing with Silent Hill, as I understand it: unlike most survival/horror, SH is almost entirely without "jump" moments. I don't recall "jumping" at any point while watching SH 2, and I'm the world's biggest wuss when it comes to that kind of thing (I spent most of Doom 3 cowered under my desk, peeking out only long enough to kill whatever was growling at me at the moment). However, it had me *recoiling in genuine horror* at several key points in the story...or just feeling plain creeped out and wondering what the fuck just happened/what was going on. Which is exactly where the game wants you to be mentally, since that's exactly where your character is. That's the thing about Silent Hill 2--it's insidious. It doesn't *scare* you, it grabs you by the psyche and drags you, kicking and screaming, into the parts of it that you're most scared of. Very much like a good Stephen King novel, which is about the highest praise I can give a horror game.
From what I understand, as the series went on, it got much more combat-oriented and went the cheap scare/gross out route, and lost that something that grabbed hold of you and wouldn't let go in SH2.
(By the by, if you're *really* curious about SH2, you might want to watch a straight playthrough, rather than LordVega's LP up there. His commentary can be quite intelligent and often funny, especially since that was the first time he'd ever played the game, but it does detract from the mood and story a bit.)