If you can, find yourself listening/watching either a youtube walkthrough or as much as I hate to rec it, a Let's Play. There is so much missing information I've found on the Bioshock wiki that you can discover from the game. The audio tapes especially.

I was scared when I first started to play it, but only one incident really freaked me out (lights went out in one area suddenly), but it's pretty tame on the easiest mode setting.

(I still refuse to play Silent Hill though)