threefour* of 'em, and Haunting Ground/Demento. I love them and count them among my favorite games, but they didn't really get under my skin; I tended more towards, "Woah, cool!" than "Oh, no!" The very first one, for the SNES, is gorgeous-looking.
The Silent Hill level that made me wanna cry was Midwitch, from the first game.
*How did I forget the side-story CT: The Struggle Within, when I'm one of the two people who actually like it? I mean, I agree the backtracking will make ya tear your hair out, but it's almost worth it just to get squashed by Masaharu or root around in that corpse looking for a lost key in the last level.