In Silent Hill 4, Henry was sleeping next to a secret room containing the rotting corpse of the psychopath that would eventually try to kill him for two years before the events of the game.
The whole Silent Hill series in general actually. We know that some things have to be in the characters' heads and some have to be real. But in many (arguably most) places, it's not 100% clear what's real and what isn't. The monsters being people for example.
When you first enter Wish House, you find a note that mentions Alessa, and then you find another note that hints Dahlia is the one that made Walter think Room 302 was his true mother. Since the 21 Sacraments is a ritual from the Order, it's easy to deduce that it's just another way of summoning their "God", and that Walter is just an Unwitting Pawn. If you watch the "21 Sacraments" ending, only his child form seems happy, while older Walter seems depressed. In the end, he didn't get what he wanted, and he probably began The End of the World as We Know It, since what happened in Silent Hill is clearly spreading through the building, and will probably consume all of Ashfield. And he can't stop it, because now HEis the one trappedinside the Room.