Per wiki policy, Spoilers Off applies here and all spoilers are unmarked. You Have Been Warned.

Using Harry's phone to call the Konami customer service number.
Calling 411. After Harry tells the operator that he's calling from Silent Hill, the operator just nervously says "Silent... Hill?" and then hangs up.
"It's a boat. It's like a car, but runs on water."
Upon examining a wastebasket covered in used condoms:
"What, no bareback in the great outdoors?"

If the player made choices that implied they were a virgin and/or committed to relationships, their psych profile at the end will include Dr. Kaufmann speculating that they are "lousy in bed."
Every time Harry stares at sexy posters/mannequins.
This moment from the UFO ending:
Dr. Kaufmann: James?
James: Wrong day again?
Dr. Kaufmann: See you tomorrow, James.
Dr. Kaufmann: One of my couples therapy patients. Haven't seen his wife in a while.
- The UFO ending as a whole. After James leaves, we get this:
  Cheryl: *Now a Shiba Inu* My mother was a bitch.
  *Camera pans out to show that Kaufmann is a Grey alien, and James is hiding behind his couch*
  Dr. Kaufmann: (In a distorted voice) Go on, I'm listening.
In one therapy session, Kaufmann lets you color a picture of a house, car, husband and wife. When you resume play with Harry, the house, car and couple get the same color as the picture from the session. So if you color it all pink, the house and car will be pink, and the husband and wife wear pink shirts.