Harry didn't die in SH1. The canon ending is that he survived, took Heather/Cheryl with him, raised her, and then SH3 happens. He dies in SH3 after being snuck in his sleep by that coward missionary monster.
Cybil didn't die at the beginning on SH1 either. She was clearly there in the game, not an imagination or anything. Harry's journey in SH1 wasn't psychological. He was in the wrong place at the wrong time. Everything you see in SH1 - the monsters, all the hospital-related imagery and surroundings, were all influenced by Alessa's psyche, her fears and thoughts as she lay in the basement suffering.
Cybil existed, but as to her fate post-SH1, the devs have stated it's open to the players what they think happened. She didn't appear or even get mentioned to my knowledge in SH3. She might be dead or alive, it's up to you.
Kaufman and Lisa are both dead, or trapped in SH as monsters now. Sucks for Lisa but oh well. Dahlia is most definitely dead as well. Alessa made sure of that.
As for SH2:
*James - Depends on the player's thoughts as confirmed by Team Silent. Fans have been having rabid debates for years, people arguing that In Water is the canon ending even though there's no direct-sequel to SH2, and there's not really any "evidence" to back up any ending. The only reference to this is a single line in SH4 that says something about "a guy who went to Silent Hill and disappeared." Of course James disappeared, no one knew where he went. Anyone can "disappear" by going someone and not coming back. Disappear is not synonymous with death.
As for James not caring about Mary, it's sorta clear he does. He goes through the entire game for her, but he's really semi-demented for what he did in the first place. He killed her out of both love and his own selfishness. He loved her and hated seeing her that way, but also hated having to deal with the burden of her random angry outbursts at him, and having to take care of her.
Eddie was killed by James. Angela basically kills herself or stays in SH forever, we don't know but she definitely didn't leave the town.
Mary was clearly dead before the game even happened. SH2's version of SH was a psychological one, which is why she appeared numerous times.
Who knows what the canon ending to SH3 is, most likely there isn't one so I won't even explain this. It's up to the player again I suppose. Anyone can die in SH, but some people already have canon endings.
Travis doesn't die obviously since the canon ending to Origins was the good ending, and he drops Alex off in Shepard's Glen.
Henry, meh. Again with the "choose your own ending" thing. It's up to you. Anyone can explain why they think their favorite theory of the ending is what "actually" happened even though nothing is set in stone, but it's all just semantics in the end.
Finally, Silent Hill as a place does exist in the game. It's a real town. In SH2, Laura sees the town as it normally is, a resort. She doesn't see any monsters or fog because she's innocent. SH is different in the different games. In SH1 and 3 and Origins, it's directly influenced by Alessa, whereas in SH2 and 4, it's psychologically influenced (SH2 has the individual characters going through their own personal hells, and 4 was all done by Walter). It's different depending on which game you're playing.

My observation has purpose, hence I am here.