Spoilers! I mean it! Don't read unless you want the three games ruined!
They're moths. Why? Because they are the insect that represents Samael, the fallen angel who controls Silent Hill and who is the power locked inside of Alessa/Cheryl.
Moths are everywhere in the three games, in the first game you fight a moth larva and an adult moth. In SH2, that one room is filled with moths and Maria's tattoo is of a moth. The final boss is also surrounded by moths and uses them as a weapon to hold you in place so she can strangle you with her tail/tentacle. In SH3, in Alessa's room at the end of the game there is a display case filled with different species of moths.
What does this all mean?
Throughout all the games, Samael is watching you.
Hope that helps all you guys
