Heather Mason > James Sunderland. That's all I have to say.
Actually it isn't. The reason I prefer Silent Hill 3 to Silent Hill 2 is predominantely her. Not in a way that makes my balls tighten, but I felt like I could relate to her more than I could relate to James.
Yes, let's all a laugh at the fact that I relate more to a teenage girl than I do to a man. But seriously, the appeal of her is that it seems like she was plonked in Silent Hill through no choice of her own and she can't really up and leave, being 17 and all. James, on the other hand, is a bit insane. I could sympathise but it was like "well, you asked for it".
Apart from the main character and plot, they're really very similar games though. I did enjoy the puzzles more than I should've done and maybe that contributes to why I like SH3 better, it does lay it on thick. Might also be to do with that I was too young when I first played SH2 to really get it.
I'm not to proud to mention that I shat myself when I walked down that ladder in the shopping centre in SH3. It's been quiet for a while, you get drawn into a false sense of security and think you'll be back in the real world soon. Down the ladder you go, you reach the bottom and WOAH SHIT. God, I need to get my PS2 back. My sister stole it to put in her house. Pissed off about that.