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Chekhov's Gunman: You know the engraving of the man in the mask will be important later.
Possibly subverted. It was one of a set of four literary-themed plates needed to unlock the final door in the hotel "level." So far, there's been no indication of it or the masked man becoming relevant again in the future.
Point of No Return: The "weird phone lady" warned Vanessa that if she didn't leave Silent Hill as soon as she escaped from the church, she wouldn't get another chance. Vanessa chose to ignore her and keep searching.