If it hasn't been mentioned, Silent Hill 3 and 4 if you're into survival horror (so yeah, if you don't know, pick these up if you end up enjoying Silent Hill 2).
Understand immediately that they're not going to live up to the awesome of SH2 IN SOME WAYS.
I will always stand by the fact that Silent Hill 3 is the scariest Silent Hill game ever. Pyramid Head has got nothing on Valtiel.
But yeah, as far as storyline goes SH2 will probably always take the cake. Still, these two are worth checking out as well. SH3 is a pretty straight shooter, sticking to the typical SH survival horror mode (a bit more linear than 1 or 2), and SH4 well... it's controversial. It's got some silly design decisions, it does. But I think that those design decisions, while making gameplay slightly annoying in some ways, really actually contribute to the overall themes and tone of the game. One things for sure, it definitely shot for a new approach.
Ahh what the hell. If you enjoy all these, pick up SH Origins and SH Shattered memories too as both have been ported to the PS2.
Origins only if you find yourself really enjoying the traditional survival horror gameplay. Because it can be chalked up to "more of the same". If you're like me, one of the .00001% of people in the world who actually enjoy (not just tolerate) oldschool survival horror gameplay, it might be worth a go. Horribly silly looking last boss though.
And on the other end of the spectrum we find Shattered Memories. Don't bother looking for classic survival horror gameplay, Shattered Memories took it out back and had it shot. But hey that's cool, because this is one of the best and most original Silent Hill stories since 2 (odd cuz it's easy to assume that it will simply rehash the events of the first game, WHICH IT TOTALLY DOESN'T). I absolutely hated the gameplay. Neat idea, but taking enemies out of the "normal" world and keeping them ghettoed in the "otherworld" (which is a glorified arcade game) makes anything in the real world just not terribly scary (as creepy as some shit can be, it can only be so creepy when I have absolutely no fear of dying). And while being chased by shambling things in the otherworld is actually very disturbing the first couple of times (never forget when I realized that there's a "rear view option", and seeing all of those things on my tail), it's very one note and gets old quick.
STILL ALL WORTH IT IN MY OPINION FOR A VERY NEAT STORY USING VERY INNOVATIVE STORYTELLING TECHNIQUES.