anime like Silent Hill
 

Dealing with alternative realities, parallel worlds, illusions, being within someone's imaginary world... in a scary way, though it doesn't have to be true horror, just somewhat dark in tone. Even Madoka fits. XD I'm not saying that Madoka = Silent Hill, just that it has the minimum required amount of edge.

Chaos;HEAD, though the main male char may make you beat yourself with a stick at times. The main char doesn't know whats going on, what's real, etc... And neither will you.

Perfect Blue

Illusions....illusions everywhere,or are they?

Watch and find out.

There's no anime I've ever come across that's anything remotely like Silent Hill, so it's good that you narrowed down your request. I'd be all over that anime if it existed. There are a few that are similarly dark in tone and fit your themes quite well that I can think of, though. They're of varying popularity, so you might have seen some, or all, of them already.

Paranoia Agent. Dark, atmospheric and just generally well directed and conceived. It fits the theme of delusions and dark imagination.

Boogiepop Phantom. Don't let the seemingly silly name fool you, this series is dark and brooding. The sound design is outstanding, and the psychological horror is well executed.

Going out on a bit of a limb, there's Welcome to the NHK. It fits all your criteria of imaginary worlds, delusions and such, but there's never a supernatural element. It's definitely dark in tone, but it's never scary.

There's always Lain, too, if you've yet to see it.

Lastly, you might enjoy Mnemosyne no Musume-tachi. It's decidedly dark in tone, and gets into some otherworldly supernatural stuff along the way. It has a lot of gore and gruesome stuff, as well as some sexuality, though, just so you know. It's also a lot more grounded in reality than the other recommended shows.

ghost hound

I don't think there's an anime quite like Silent Hill.

Perfect Blue might be worth a shot; it's a psychological horror film where the protagonist becomes increasingly unable to tell the difference between reality and fantasy, and the movie's edited in such a way that it makes the audience unsure of what's real and what's not either. Nothing supernatural in it, but still quite creepy and surreal.

If you haven't seen the live action movie Jacob's Ladder yet, go watch it, it predates Silent Hill and is a big inspiration on the franchise.

Thanks for the suggestions!

Gilgamesh is appropriately gothic, solemn and the characters speak in monotone. There are supernatural beings too. I think it fits in the silent hill-ish anime.