Walter
Silent Hill 4 was a bit of a sleeper in the series, but the main villain Walter Sullivan was a pretty frightening figure, especially as he chased you relentlessly over the entire back half of the game. All you could do was slow him down up until the very end, and if he caught you, you were in for a world of hurt. Also from SH4 are the ghosts, who appear in certain areas and damage you just by getting close and can’t be killed. There are a few special swords in the game that can be used to pin some of the ghosts down though, which might not be a permanent solution but is still strangely satisfying.