Don't read this if you haven't seen Silent Hill!
I just watched the movie Silent Hill today, and I realized that for D&D players, it all makes perfect sense!
The town of Silent Hill exists as both a Material Plane town and a duplicate which is coexistent with it on the Ethereal Plane. We know it's coexistent because Boromir 
can sense Rose's presence if he's in the "same" location as she is. Not only is the Ethereal Plane coexistent, but it also looks like mist or fog, which is exactly what Silent Hill looks like!
Now, some might consider Silent Hill to be some kind of misty Ravenloft domain with Alessa as the darklord. This, however, can't be possible, since Alessa gets what she wants in the end, and we all know darklords are cursed never to get what they want.
Still, the Ethereal theory seems to have a hole in it. Silent Hill keeps transforming into a demonic place that is obviously connected with the Lower Planes, and the Ethereal doesn't connect to any of them. However, this could be explained by having Silent Hill as a highly morphic region of the Ethereal which Alessa controls. The connection to the Lower Planes could simply be a vortex or portal.
Or maybe, the town exists in three coexistent planes at once: the Material, the Ethereal, and the Plane of Shadow. When the town goes "dark", it could actually be shifting from the Ethereal version to the Shadow version. I mean, Shadow is already highly morphic, and it sure is dark!
One more thing. It's obvious to a planar why Alessa couldn't enter the church -- because Christabella and her cultists believed she couldn't. Powerful as Alessa is, she wasn't powerful enough to break through their belief -- that is, until she got Rose to storm in there and proclaim that their beliefs were wrong.
So, if you ever choose to watch Silent Hill again, just think of the DC for the Knowledge (the planes) check Rose would need to make to realize all this! Oh, and of course, stats for Pyramid Head. 
Id certainly agree with anyone who would draw comparisons with the plane of Shadow. How about Alessa (or the demon who torments her) having some ability to shift that 'reality' into the shadow plane (characterised by the decaying of Silent Hill when it falls dark) or even shifting the town into one of the lower planes or perhaps an entirely seperate demiplane?
There are certainly powerful fiends or perhaps a very minor deity/demigod of vengence, that could no doubt form their own demiplane and apply the negative dominant trait while giving physical aspects of Plane of Shadow to it.
Id agree that there must be some form of ethereal involved. But the fact that neither side can see the other (not even in a hazy, dreamy sense) would make me go with a place somewhere between ethereal and deep ethereal.
As a sidenote, I went to see this the other day with my fiancee and I think we were the only two people in the cinema who actually enjoyed it
There were people whining about how bad it was. I'll agree that Sean Bean should never try and put on anything except his own West Yorkshire accent but apart from that I liked it...