These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
The ghost in the subway and the Happy Birthday phone call in the hospital.
Unknown caller: Happy birthday, dear... I'm sorry. I forgot your name. Heather: Who are you? Unknown caller: Oh... okay. Happy birthday dear "Hooaryou"...
On subsequent playthroughs, in the sewers you have the option to drop the steel pipe into the water. This spawns a fairy who presents two pipes, one made of silver and another made of gold. If you refuse both you get to keep both and you get your steel pipe back. There are no future references to it other than Heather thinking about pawning the gold pipe. It only happens in New Game+, so it's really just a shout out to an old legend that's been referenced by pretty much everything ever.
It's possible to force the Missionary Boss into a corner, making him much easier to fight.
Nurses can sometimes get stuck near corners making it hard for them to hit you but easy for you to hit them.
Hell Is That Noise: The sound the pendulum enemies make. Imagine the sound of a red tailed hawk screaming constantly, mixed with rusty metallic scraping sounds.
The soundtrack in the Final Boss fight. It's hard enough to dodge advancing swaths of flame and the boss's humongous arm trying to smack you, but trying to concentrate on the fight with all the blaring sounds makes the battle so much more annoying.
Valtiel. He never attacks you, and is always just out of reach, and just... watches. He's a thoroughly disturbing reinforcement of the stalker theme that Stanley represents.
Player Punch: Harry's death. Doubly so for those who played the first game.
The infamous Wham Line of the game. Almost makes you think twice about the enemies you've faced.
Tough Act to Follow: It was itself subjected to this a bit after the magnificent Silent Hill 2, which is commonly regarded as one of the finest works of horror in the medium. It's also an example itself, as after this game, the series never really hit the same level of success again.
The Woobie: Heather for a good chunk of the game. Her character design was made to make it seem like she was constantly slightly teary-eyed, which fits for the first portion of the game where all she wants is to get home and get away from the hellish surroundings. It gets worse when she finds out her father has been murdered.
Claudia is this as well. He father used to beat her so badly that memory of it was burned into Vincent's brain somehow. Then her best friend when she was a little kid disappeared, as did the woman who rescued her from her father.