Twin Victims / Double Heads, Silent Hill 4
You may notice that there are no enemies on this list from games released after SH4. That is because all the SH games released after SH4 are, to be frank, rubbish. Silent Hill 4 isn't great either, but it has some redeeming features: the first-person sections in your apartment turned out to be the best bits, and they genuinely made me not want to go and save the game. The title screen music is great. Then there are these conjoined freaks.

Romper, Silent Hill

In terms of their basic physical structure, Rompers aren't really all that terrifying. Sure, they have the whole face-like-a-worm-orgy thing going for them, but other than that they are one of Silent Hill's more generic-looking hell-beasts. But their appearance doesn't matter all that much, because you don't normally see them before they barrel out of the shadows at you, making that hideous grunting/laughing noise that they do. They're SH's masters of the sneak attack. I don't think I've ever actually killed one, because as soon as I hear their infernal gibbering I run away run away run away RUN AWAY!
Pendulum, Silent Hill 3

Abstract Daddy, Silent Hill 2

Closer, Silent Hill 3

My very favourite. This ham-armed, penis-faced, spindly-legged demon should not be scary; he should be downright laughable. Ha ha, you might say, look at that freak. But then it turns to look at you with its eyeless face and you are scared. They're called Closers because they close off space with their huge bodies, and I think that's part of the reason I hate / love them so. There's no getting away from them; they just kind of bumble toward you in an almost uninterested fashion, their "faces" twitching... brrr. Plus they're the first enemy you encounter, so they have a special place in my heart. A black, twisted place.
So, those are my favourites. Pyramid Head wasn't on there because I consider him a boss, not because I don't think he's cool. Because I do. Come back soon for more Hallowe'en-related videogame nonsense!
BONUS!
If you have any interest in Silent Hill, then you should read the translated Lost Memories book here, because it's jam-packed with interesting Silent Hill info.
The Silent Hill Wiki is a good place for information, too.