Silent Hill 3 Is One Of The Most Disturbing Horror Games Of All Time.

Long answer: I think it's best to start with the series' crown jewel, Silent Hill 2. If you're going to play 3, be sure to get a PS1 emulator and finish 1 first because 3 bases heavily on the first game's storyline (while 2 has its own independent story completely unrelated to any other SH title).