I'm not one for horror games but I really like the concept and themes of the games, and really appreciate the direction it's taken in its horror elements and experience.
SH4 wasn't intended to be an SH game but during development was given the SH title. Shattered Memories is a 're-imagning' or the events of Silent Hill 1.
If you're considering getting into the series go for these versions of the games:
Silent Hill 1: PSX (Available on PSN)
Silent Hill 2: PS2 or PC
Silent Hill 3: PS2 or PC
Silent Hill 4: PS2 or PC (It's available on JPN PSN interestingly enough)
Shattered Memories is available on PS2, Wii and PSP, PSP ver. is on PSN and is Vita compatible.
There are no HD collections or Compilations of the SH games. None. At. All.
Silent Hill Wikia
UFO Endings compilation
The true mastermind behind all this madness