Thought I'd tack something on here, though I don't know how useful it will be.
I haven't played Silent Hill so I can't comment on that. I do want to mention though that there is a brief clip near the end of Cat Lady that didn't make a lot of sense to those of us who only played CL
<i>(spoiler in URL)</i>, but which apparently made sense to people who had played Downfall (I haven't played it either). So while it's not required in the least, people interested in CL might want to consider playing Downfall first.
Also, though a much simpler game, those interested in psychological thrillers may be interested in
Lone Survivor, which I actually did play and found enjoyable. I also recently learned that the dev has released a director's cut version of the game after 10 months of work. If you already have the original game, such as from Humble Bundle 5, you get the update free!