Clear the Rebirth Ending to get the DOG Key in the Doghouse near Jack's Inn in Southvale Silent Hill.
To get the Chain Saw easier, complete the game under the easy difficulty and easy riddle difficulty settings. Get the "leaving" ending (where he leaves the town with the girl). The Chain Saw will be located in the section just after the first graveyard. You will hear it, and it will be sawing away on some logs.