Resident Evil 2 is king, for me. Possibly because it was my first survival horror, possibly because I played the crap out of it, and possibly because it was hell of awesome.
RE3 was just more of the same, although it had its moments.
The first Silent Hill was pretty scary, but I think the intro (the bit before the school) was probably the most frightening bit - it seemed to get repetitive and thus less scary later on.
A lot of these games are kind of rip-offs of each other though. Project Zero was pretty predictable, from what I played of it.
Even RE4 seemed a bit hum drum to me, although this may have been because so many people were going "OMG SO AWESOME!" that when I played it it just seemed a bit pedestrian - a new camera angle and crazed villagers instead of zombies (the latter point being a negative, because everyone knows zombies > all) were the only differences.