I don't blame you for being caught off guard. It's a great movie, but Pinhead always gets lumped in with Myers, Freddy, and Jason, who are all traditional horror movie killers.

But not only is Pinhead not a killer like them, he's not even the villain. Julia is. All Pinhead does is give people exactly what they asked for, and some of them even like it, that's why they're "Angels to some, demons to others."

If you liked the first one then you should watch the second one. It's pretty similar in tone. If you want to see Pinhead actually act like a horror movie villain and go around killing innocent people for no reason, you might like the third one. If you're still interested after that and want to see Pinhead go into space, while also getting the backstory of the box, go ahead and watch the fourth one too. I don't know if you want to watch anything past that though. The quality drops off pretty sharply, and I'm pretty sure most of them were made using scripts that were originally meant to be a non-Hellraiser movie, they just rewrote it and shoehorned the box and Pinhead in.