Yeah, I'm a fan of the series. I've played through SH2, but only half-way through SH3 and 4 (and never, SH1).
Looking forward to having a new one out on the PS3, or the Origins title coming up for PSP.
Although, I don't think these games are really that "scary". They're more like "thrillers", as opposed to "horrors", if you're defining them like movies. Cause yeah, I'm not really scared, per se, but like... it gets my heart going though!
But having said that, there is one part I remember in SH2 that pretty scary.. haha, freaked me out!! (The part with the mannequin, if anyone knows what I'm referring to!)