The Danza: Heather is named after the actress who voiced her. Her last name is not given in the credits, giving an impression of the character as herself, to the point that early promotional materials had her character name listed using the actress' full one — Heather Morris. Justified in that listing Heather's real last name — Mason (as in, Harry's daughter) — would have spoiled a fairly significant plot point that comes about halfway through the game.
Deadpan Snarker: She starts out mocking Douglas when most would be intimidated by his "gruff detective act," but when things start going to hell, this aspect of her personality diminishes a bit, since she's (with good reason) scared out of her wits. As time goes on and she starts accepting the madness around her, she starts up again, in particular snarking directly to the face of God herself. This is why the fans love her.
Fanservice: Not on the game itself, but on the game's original soundtrack album cover. She's pictured wearing her trademark white sleeveless vest, but without the orange shirt she usually wears under it, thereby exposing her cleavage.
Fetus Terrible: The reason Heather keeps doubling over in pain? She's still carrying the God Dahlia put into Alessa, and it wants out. And if you shoot Claudia instead of spewing it out with the aglaophotis, it does break out, killing Heather in the process.
Douglas: Is it over? Heather: Not yet... (holds up her knife, points it at him and starts walking toward him menacingly) You're still alive... Boo! Just a joke.
Not So Stoic: Despite her plucky and snarky attitude, she falls apart the instant she finds the dead body of her dad.
Older Than They Look: She was first born 31 years ago. She lived 7 years as Alessa, then split into two beings (Cheryl and burned Alessa) with another seven years each and finally she lives for 17 years as Heather. So she's 24, or 17... or 31.
In a way, subverted. Despite what Claudia and the crazy man on the phone tell you, Heather's current body and personality are clearly only 17 years old. In other words, she's more Harry's Cheryl than Claudia's Alessa.
Plucky Girl: Unlike previous (and future) protagonists, Heather is unruffled by attempts to scare her, which might explain her popularity.
Pregnant Badass: Though she doesn't realize it at first, and doesn't look like it.
Pet the Dog: When the topic of Claudia's abusive father comes up, Vincent becomes uncharacteristically sympathetic towards her.
Pragmatic Villainy: Sure, he exploits his own cult for money and is one of the most questionable guys you'll ever meet, but it's not like he wants to destroy the world or anything. That would get in the way of money.
Sissy Villain: Vincent has a bit of this (e.g. criticizing Claudia's "decorations"), though nothing over-the-top.
Hero of Another Story: Apparently had his own little Silent Hill adventure while Heather was having hers, culminating in confronting Claudia on his lonesome and getting his leg broken. His contribution to Heather's story basically consists of being an Unwitting Instigator of Doom, giving her a ride to Silent Hill, and providing some moral support.
Not Even Human: When Heather encounters Leonard, he's actually some kind of aquatic creature rather than a human being.Maybe. Leonard's daughter is human and no one ever makes note of his appearance. He could very well be human, and Heather may simply be seeing Through the Eyes of Madness.
A passive monster who is worshipped. He often appears through out the story as an important yet unsettling presence.
Ambiguously Evil: While he's definitely associated with the Order, he seems distant from their methods and goals, and his only loyalty is to the God itself, not the Order. He never attacks anyone, including Heather (who's following her father's footsteps and trying to destroy the God). Occasionally he can even be seen during the game over screen, gently carrying Heather's body to safety.
Non-Malicious Monster: Despite being creepy, Valtiel never actually harms you. He is seen attacking other monsters (as if to ensure Heather's safety) and goes out of his way to resurrect Heather if she is to die, though this is probably due to the fact that she is carrying the God in her.