For instance, take his appearances in the Labyrinth. Picture this: you're running along, and then you see Pyramid Head coming your way, and there's no way out. You can leave, but that'll risk the chance of Pyramid Head being in another place. The only safe spot is a nook in the wall, mere inches away from Pyramid Head's path. Then Pyramid Head walks by, and it's a moment of "Oh God, don't see me". Thankfully, the nook works...that time.
That circular walkway...THAT CIRCULAR WALKWAY. You may spend most of your time running from him screaming "I CAN'T FIND THE LADDER, I CAN'T FIND THE LADDER!" Not to mention the fact that running from him only takes you around the walkway and right into him again.
One of the reasons Pyramid Head is so terrifying is that his appearances aren't always preceded by cutscenes. Take his first appearance at the apartments: the radio blares its usual static as you walk down a hallway, and there he is, on the other side of row of bars, standing completely still and looking right at you.
That's the worst part, too. He just stares at you from behind those bars. He doesn't do anything. You don't want to walk into the next room because you're convinced he's going to burst through the wall and kill you, but you have to. After that, every step you take carries the weight that he's going to be there ready to kill you. You don't know when or where, but you know it'll happen.
Eventually, it feels like he isn't staring at James, he's staring at you, the player.
Elaborating on the above statement: During Pyramid Head's first appearance, James hides in the closet and we get a POV shot of him watching Pyramid Head through the slits in the door. After a moment, Pyramid Head suddenly looks directly at the camera and shuffles towards the closet to investigate. As he slowly closes in, you start to wonder who exactly he's looking at.
One of the scariest parts of the game is seeing the huge painting of Pyramid Head just before you start exploring the prison. After already encountering him a couple of times and having built up a healthy fear of him, seeing it hanging over the entrance will have you constantly dreading his eventual appearance as you go deeper and deeper underground.
To top all of this, he sometimes jumps out of impossible angles, case in point the moment where you pass from one fixed camera to another in a long corridor of the hospital and he's suddenly right behind you. Also, when you reach the roof of the hospital. Turns out there's not actually anything for you to do on the roof unless you're honestly curious about the diary in the corner, so you try to leave through the door you came in from and you can't open it. Unlike most of the doors in the game, nothing's wrong with the lock. James says that something is holding it closed from the other side. Uncertain what to do next, you wander over to a nearby section of fence and Pyramid Head appears literally out of nowhere to give you a hand (read: use his Great Knife to give James a good shove in the midsection, sending both him and the fence over the edge and crashing through the roof below, leaving James one hit away from death).
The scene of Pyramid Head raping the Lying Figure before you battle him in the apartment stairwell is just eerie. That groaning...
In the abandoned apartment complex, James finds a flashlight on a mannequin whose dress eerily resembles Mary's. As soon as you take it, another previously inanimate mannequin abruptly stands up and begins to shamble towards you.
Much of the historical society/prison/abyss sequence. The peak of terror occurs in the corridor before the final hole. A small corridor, with an unopenable door, the last hole... and THIS playing.
And just before that, you get to go through the prison morgue. It's full of corpses, stuffed into holes in the wall and lying on gurneys. It's James's comments that really clinch it, though:
"It's all dismembered... No, I can't look anymore."
How about the room where you have to go in to get a tablet...then find the door to the cell inexplicably locked?
When you're in the cell blocks in the prison, you hear something very large walking around, breathing very heavily, and whispering something that sounds very demonic. You never get to see exactly what it is.
More specifically, it's some kind of invisible creature. There are two of them, one in each cell block. They don't register on your radio, but they tap on the walls and whisper an incoherent, guttural-sounding word (possibly "ritual"). You can shoot them through the bars, and if you kill them and look carefully, they make human-like cries and you'll see blood spreading across the floor, but you never actually see what they are. This does not make them any less disturbing.
The fact that the invisible things sound human when they die is pure Paranoia Fuel. What exactly did you just kill?
The alternate Lakeview Hotel, which has been both burnt and flooded. Your flashlight no longer works, which doesn't help when you have to go back into the dark basement, the room doors now teleport you around the building, and several areas that don't exist in the real world are now incorporated into it. And the music.
As terrifying as the more overt elements are, often it's the subtle and ultimately irrelevant mindfucks that are the most effective, like the unbelievably creepy walk through the forest at the beginning of the game. Or the room with dozens of legs sticking out of the wall. Or the game show that suddenly blares from a radio that until then only emitted static. Or that in the aforementioned prison/abyss, you jump down numerous holes leading further underground... only for the exit to lead back to the surface with no discernible ascent whatsoever. Or the fact that at one point, James encounters a corpse that looks exactly like him.
There are quite a few moments like this in the Silent Hill Historical Society, that while in and of themselves are quite subtle, are extremely unnerving. The two most prominent examples are the several descents that James must make, which would put him almost a mile beneath the surface of Silent Hill, yet you emerge only about a dozen feet below where you entered. This instance of symbolism represents the fact that James has surrendered himself completely to what he knows to be madness, both in his search for Mary and the blind faith it takes to repeatedly jump down tunnels of unknown lengths into complete blackness. There's also a moment right before you fight Eddie where, despite having descended an immeasurable distance, James finds himself in a cemetery where there is rain and thunder, and three headstones with his, Angela's, and Eddie's names on them.
More random plot-irrelevant events that may necessitate a change of pants: The locked bathroom stall in Toluca Prison - you can't get it open, but if you knock on it, there's a chance you'll hear a horrible screaming noise as you leave the room. The room in the alternate Brookhaven Hospital where you periodically hear the sound of glass breaking, if you stick around after killing the nurses. The diary entry from the patient who was locked in the "basement's basement", and the basement itself - there's a barred-off area you can't get to, but when you walk past it, you hear a repeated noise that sounds either like a child screaming or a pig being slaughtered. Oddly, when you actually find the "basement's basement", there's nothing unusual in it except an item you need to solve a puzzle, which is arguably just as bad.
Still more examples: Wondering just what the hell "There was a HOLE here. It's gone now," really means. Or who was leaving those bloody messages for James. Or what happened to everyone in the Woodside/Blue Creek apartment buildings, or what was really being done to the patients at Brookhaven.
There is a vague message on a door that is built into an inexplicable tarp-like divider wall. The message "The door that wakes in darkness, opening into nightmares." gave this troper chills trying to imagine what kind of "nightmare" the developers had in mind for the player. The door does not immediately throw you into a Nightmare Sequence as it seems to imply but acts as an over-world shortcut to the aforementioned Historical Society Nightmare Sequence.
On a related note, some may find Walter Sullivan far more disturbing in Silent Hill 2 when he's only mentioned in a newspaper article ranting about the "Red Devil" than he is as an out and out serial killer in 4.
In the first apartment building near where James first meets Eddie, there is a bit of graffiti that reads "To Hell", with an arrow pointing towards a door. The door in question can't be opened.
The paintings actually represent the three characters in the center of the "judgment": "Burning Man" represents the burning of the Lakeview Hotel (which is central to James' story); "436 People At A Recital" could represent how Eddie was humiliated as a child in front of a large group of people, thereby setting a trend for his life; and "Woman In Flight" represents Angela, fleeing from her crime. Whether that's less disturbing or more depends on your mileage. Now, how a random lunatic at a prison might know about these three lives, or whether the town went to extreme lengths to manifest these things to James... Not something you want to speculate on.
A disturbing little detail in the "Woman In Flight" painting is that one of the buildings is shaped like a pyramid.
Oh yeah, well take a closer look at the heads of those 436 people, notice how a lot of them are very...angular.
The grid of nine save squares at the end of the game. They aren't any more effective than a single square - they're just a good indication that there's something very, very bad in the next room...and there is. TwoPyramid Heads!
"If you ReaLly want to sEE Mary, you shOUld just DiE. But You might be hEadiNg to A diffErent place than MARY, James."
The indecipherable whispering in Room 209 of the Blue Creek apartments. It doesn't show up in every playthrough; it's random.
A cleaned up version of the whisper seems to say something like "See my dead wife come home to do some laundry to save me see two cars two.." It's pretty difficult to make out the last bit.
Similarly: While walking down a specific hallway in the hotel, you may suddenly hear a distorted cry that sounds like sobbing laughter. This event is completely random.
A scripted moment in the apartments where the camera pauses and James hears what sounds like a baby crying. One may have to turn the sound off after that.
Near the end of the jail-cell section of the Toluca Prison, one of the places James can enter is the female bathroom. The stall on the far right side is the only one that's closed. The player has the option of knocking on the door, to which nothing responds. When the player walks back to the door to leave, a very loud crash and scream will come from that stall. Sometimes.
In the hallway outside the room where James spies on Pyramid Head raping the mannequins, this troper heard radio static while James moved down the corridor and stopped...and so did the static. It started up again when James moved, then stopped when I made him stop. What.
The prison graveyard. All those graves, with no explanation why it's there, with your one waiting to be filled... And the next level only reachable by jumping into it...
Much of the soundtrack itself can cause bricks to be shat. Only a Nightmare, which is pretty much a distillation of every horrific sound in the Historical Society/Prison/Labyrinth, Death Shamble, and Suddenly Awake, which is part of the reason the alternate hospital is so traumatizing.
On that note, there's the way the game warns you that there's enemies in a room in Born From a Wish. Since there's no radio, they went with two different methods. The first one was making all of the monsters' footsteps really loud. The second? Walking into a room, only to be blasted with this.
Speaking of Born From a Wish, the entire time that Mary is in the mansion, she hasn't seen the man she's been talking to face-to-face, instead speaking to him through doors. While you get an idea of what's going on after visiting the attic, it's not until Mary leaves through the back door of the house to get to the Lakeview Apartments that it really hits you. "STAY OUT OF THE HAUNTED HOUSE"
There is a subtle one in the alternate hospital: The room Maria was resting in in the regular hospital is now empty. However, if you listen, you can hear breathing.
Eddie's slow descent into madness; at first he seems like a nice, if oafish, guy, but by his last appearance, he's trying to kill James while bragging about the other people he's killed. And we don't know for sure if he was already nuts or if his experience in the town made him that way.
The Lying Figures that come scuttling and screeching from underneath a car. Not only that, but the Mannequins that randomly levitate out onto the road? It causes suffering in one's heart.
Mannequins in general are terrifying considering they...just...stand...there. They don't move until you get close, don't emit static, and seeing one standing motionless in the middle of an empty hallway? Oh. God.
In the normal Brookhaven Hospital, there's a box that has four locks on it that you must open in order to proceed. What's in there? A piece of hair. Right next to the box is a note on the wall directed to someone named Louise, promising that the person writing the note will take care of her forever. Many fans think that that person is a patient of the hospital who is obsessed with a nurse named Louise. And the hair in a patient's room, in a box that is secure with four locks? Think about it.
The collection of diary entries spread out in the street. Reading through them, you find someone had written down what they knew about surviving the monsters (saying that they'd probably be dead by the time you found their notes). After reading through 3 of the 5, you go to read the 4th, which simply says "Run away". While creepy, curious players will still be wanting to know what the last note says. "RUN AWAY! RUN AWAY! RUN AWAY! RUN AWAY! RUN AWAY! RUN AWAY! RUN AWAY! RUN AWAY! RUN AWAY!"
In the Lakeview Hotel, if you go up to the third floor at the gate which halts your progress to the room James and Mary stayed at until you get the key, if you stay a couple of seconds, you can hear a female voice (possibly Mary) whisper "James".
How about the sequence that requires you to cross to the center of the prison yard, only to hear what sounds like many people running/jogging/trudging in unison around the edges, near the walls. It's too misty to see that far, and if you get up your nerve to go and investigate there is nothing there, and the sound stops... until you make your way to the central path again. Leaving you with the uneasy feeling that you're being circled repeatedly by the ghosts of the prisoners who took exercise in the yard (and were quite possibly executed on the scaffold you find dead-centre), or possibly that there's some many-legged horror forever one step ahead of you. Or both.
As he is leaving the prison yard, James hears the sound of galloping horses and finds a horse shoe on the door. This may suggest that alternative to being executed by hanging from the gallows, some prisoners may have been quartered. Just suggesting the act and letting your imagination take over is so much worse than actually showing a quartered corpse, because you think about it happening (sounds included) instead of brushing it off as some horrible act of the past.
Similar to the crying baby sound dummied out of Silent Hill 3, the sound of Mary's stifled screaming as James kills her is dummied out of this game. Found at the beginning of this video on some of the secrets in the game, it is incredibly disturbing.