Chainsaw:
By finishing the game and starting a "Brand new fear" file you can obtain the chainsaw. After you've finished the subway, and starting in the forest, head for the room were the car is. Find the chainsaw under the lamp to your right.

Brand New Fear Mode:
You just have to complete the game once on any difficulty and then save the file on a slot to your memory card to start ⿿A Brand New Fear" file.

Costumes:
Eileen : After you beat the game and start a new game in A brand new fear mode get the nurse's costume in Room 303 and beat the game. It will now be available.

Endings:
There are four endings in Silent Hill 4: The Room: Escape (the good ending), Mother, Eileen's Death, and the 21 Sacraments (the bad ending). Ironically enough, the worst ending is the most interesting, and the best is the least interesting. To get Escape, you must take good care of Eileen and your room. For Mother, make sure Eileen is okay but disregard your room. For Eileen's Death, disregard Eileen's safety/sanity but take care of your room. For the 21 Sacraments, don't bother with either of them.

Full Weapon Mode:
To unlock Full Weapon Mode, score a 100 rank in One Weapon Mode. Full Weapon Mode is the exact opposite of One Weapon Mode.

Machine Gun:
Finish the game once, obtain at least 9 stars. The machine gun is found in the Apartment world in Room 102.

One Weapon mode:
To unlock One Weapon Mode, you must complete the game with a nearly perfect 100 rank score. You can only choose one weapon in this mode, sans Pistol.