I'd say to start off with a game that isn't terribly scary like Resident Evil 4. That's what I did. I played that, then RE5, and eventually my friends got together and played Silent Hill: Shattered Memories followed by Silent Hill 2.
SH2, as I said in the other thread, is scary as fuck at moments but the tension is broken by some camp moments. My main complaint with the game is that while the monsters are initially scary, you get used to them and find them pretty mundane while you're stuck doing lengthy puzzles. This was even a worse case in Shattered Memories since it basically had the same monsters throughout the game (although the underwater car scene was fucking scary, I had nightmares from that).