I've played 2,3, and 4 at my friends house. I really recommend 2 and 3. 2 is scary as **** to play at night. I really hated 4, it was totally different and didn't set the same atmosphere as the previous installments.
Uhh... Start with the first one for the PS >_> Tis a classic. Probably not available in shops anymore, unless it's pre-owned or in a bargain bin. If not, I dunno how you'd get it ... (lulztorrentlulz*cough*) After that I'd just play 2 & 3. Not long ago I saw a box-set in EB that contained 2, 3 and 4 (even though The Room is horrible). Quite cheap, too.
It wasn't originally a SH game. They wanted it to be something new, but eventually they added in references to the other games. Anyway, start at the beginning. That's always best.