Yeah, SH3 is brilliant, but a very different style to SH2. As for which one's more scary, I'd say SH2, but only in a dark room late at night. Otherwise its SH3.
BTW, which ending did you get, and what extra items did you get? I have the Heather Beam, Force Sabre, Unlimited Sub-Machine Gun and Flamethrower. First time through I got the ending where Heather kills God and leaves with Douglas, the other time I got 'Possessed' where she kills Douglas and walks off into the mist.