I think I'm about halfway through SH4 by now, and so far it's been an okay experience, but a few of my gripes are like some that the others have posted, there's not enough puzzles, the puzzles that are there are too easily solved, lack of big, giant bosses, etc.
I do, however, like the real-time inventory, since it's easier to just scroll through the inventory and use it right there, without having to stop and look and everything and navigate a pause menu. Having to go back and get stuff out of the chest as you need it is a real pain, especially since there's so many pointless weapons in the game. I've only used the pipe you get at the beginning the bat, and now the axe, I haven't had much need for anything else(though I'm sure the fact I'm playing it on Easy right now is helping to contribute to that).
SH4 has some of the most amusing enemies I've ever encountered in a Silent Hill game, so far. The bat/mosquito things at the beginning are great fun, if you wind up and land a shot on one of them with the pipe. I think I got a good 15 feet off of one of those. The giant leeches are fun to step on and smack against the walls, almost makes me wish there was a paintball mode in SH4. The burping nurses made me laugh, but I miss the real creepy, terror-inducing monster desings, like the mannequins from SH2 and the sloth children from SH1.
I don't miss the radio, but I miss the flashlight. That was part of the SH charm right there. And if they bring back use of the radio, I'd think they'd have to cut out a lot of music in the game, because, as Eccles pointed out, you can just be guided by the music. If you turn off the music, then you only have the radio to tell you that a monster is nearby. But I guess the monsters make enough sound now that you wouldn't need it anyway. Blagh.
As far as a Silent Hill game, it's decent enough, and I think it's pretty cool they were able to bring something that was of almost no story importance at all from SH2 and buiild a history and plot from it, but it just isn't in the same league with 1 and 2. I'd like to see a return to that type of storytelling in the SH games.