Silent Hill 4: The Room Alternate Cynthia costume
Unlock all 4 endings and Eileen's alternate costume, all on 1 saved game. Start a new game and choose Eileen's alternate costume. Cynthia will then wear her alternate costume.
Brand New Fear mode
After completing the game. Save the game after the credits. This will unlock the "Brand New Fear" option.
Eileen Nurse outfit
Start a new game using that a finished saved game and go to room 302 to find Eileen's nurse wear, it can be picked up on the 3rd time through.
Chainsaw
Reload the finished saved game and then the go to forest world and look for the cut tree, you'll see the chainsaw near there.
Submachine Gun
Successfully complete the game with a rank of at least 9 big stars. Start a game in "Brand New Fear" mode and look in Room 202 in the Apartment World.
