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The five Shakespeare Anthology Books are books that are written by William Shakespeare. They can be found in My Bestsellers book store in Central Square Shopping Center, seen in Silent Hill 3. They are used to solve the Shakespeare Anthology Puzzle.
Examining one by one in the Hard puzzle difficulty will make Heather Mason comment about the books. Book 1 is Romeo and Juliet; Heather will remark she's not a fan of "sentimental slop" like it. She'll also remark she never read Hamlet (Book 4) and King Lear (Book 2); however, she has read Macbeth (Book 3) and can quote from it. She also says it's possible she has read Othello (Book 5), but this was a long time ago and she forgot the story.