Silent Hill 2 was a masterclass of storytelling and narration in a genuinely creepy and utterly disturbing environment.
The game eschews the more traditional "scares" that games like the original Silent Hill relied on and instead weaves a tale that builds tension and increases the insanity of the situations as you progress further in the game.
Each character at first feels like random people that have nothing in common and you start out confused as to why they're even there. But the further you go the more you realize how connected you are to them.
I think at the time of its release it got a lot of flak for "running through the endless fog" and that is sort of correct for the first part of the game, there is a lot of that. But I felt thanks to the superb sound editing that running through that fog was genuinely tense and I always felt something creepy was going to jump out at you, even if it never manifested.
The environments were characters on their own, the one that really got me was the Prison, with its laws-of-physics-defying layout, and how you just kept going deeper and deeper underground, and once more the sounds that kept following you just made the place really a place you didn't want to be in.
I'd also echo the recommendation to play Silent Hill: Shattered Memories. Granted, the gameplay of "run away" is not really realized well. but where the game shines is in it's storytelling, with particular emphasis on how it really does mess with your head thanks to the inclusion of the "Psychology" element, of how the game "profiles" you and how the in-game content subtly changes based on your responses.
The ending of course is what makes you go WTF, and also the credits scene of the "results" of your psychological profile.