Otherworld

The Otherworld and Fog World are locations included within every Silent Hill game, the films, and comics.

Astral plane
The Otherworld acts as a sort of "astral plane," as it is known that there are three "layers" to the town of Silent Hill, existing on top of each other. It is also known that the Otherworld twists itself in order to reflect the psyche of the individuals trapped there, as can be seen with the symbolism of the monsters. Harry even states that it is a place where someone's "nightmarish delusions are brought to life." It acts as a "realm of the mind."

Heather Mason also comes across a ghost in Silent Hill 3, so it also seems to be a kind of Spirit World.

The town was once considered a sacred place and it is implied that the power of Silent Hill was "tainted" by the events that took place there, such as the plague. An example of this would be how even though the Silent Hill Prison by Toluca Lake was torn down, it still exists in the Otherworld and Fog World because the pain and suffering left a psychic impression on the fabric of the universe.

Powers within the Otherworld
It is known that some characters, such as Alessa Gillespie and Claudia Wolf, have some measure of power over the Otherworld. It seems that everyone within the Otherworld has some measure of special powers within the Otherworld and Fog World.

For example, the player character happens to conveniently find weapons, ammunitions, clues and health-restoring items lying around, even in highly unlikely places such as an elementary school. It is never explained why the protagonists are so lucky, so it must be a manifestation of the protagonists will to survive.

More evidence of special powers is that whenever the character is injured, health drinks, first aid kits, and ampoules will restore the health of the player. In real life, these items will not instantly repair wounds, especially not health drinks, so it is another manifestation of the protagonists' will to survive.

Other locations
It is possible that there may be other places in the world besides Silent Hill with an "astral plane." It is implied that even before Alessa, Silent Hill already had a special kind of power, and Alessa only enhanced this spiritual power rather than creating it. More evidence to this idea is that the Otherworld shows up in other locations, such as the shopping mall and Shepherd's Glen.

It is also possible that other "Otherworlds" are actually pleasant places, as they have not been tainted.

Monsters
The monsters are more powerful in some games than others. In the earlier games, the monsters are known within the fandom for being slow and plodding. In Silent Hill: Homecoming, however, the monsters are quick, agile, and strong. The most likely reason for this is because in the earlier games the protagonists are people with no combat training experience, whereas Alex is a trained soldier. So it's likely that the Otherworld adjusts the deadliness of its monsters for who is trapped there, yet again because of the protagonists' will to survive.

Other links
"The Changing Utility of the Otherworld in the Silent Hill series"