The independent comic series Underburbs. Countess Winifred Pale, a vampire, begins a world domination plot by turning a small human town into part of an evil dimension, transforms residents into monsters and effectively makes every day into Halloween.
Super Mario World has an unlockable skin that turns the game into this if you can beat the special stages.
World of Warcraft's Undercity, home of the Forsaken undead. This is a city built completely underground. All the buildings are gothic in design, skull-shaped decorations abound. Green-yellow goo (in which you can surprisingly fish) flows in the canals. The city is guarded by giant abominations (read Frankenstein's Monsters). One of the quarters of the city is "The Apothecarium": a laboratory destined to the production of said monsters and the development of new Plagues. All the inhabitants are obviously undead. The ruler is a Banshee and the co-ruler (used to be, until his failed takeover attempt) a vampire-demon. This is the actual capital city for a player race, too. Not a vile dungeon you need to destroy. (Don't get us wrong, the Forsaken are mostly massive assholes, especially the Apocrathary, but still.)
As far as actual dungeons are concerned, Naxxramas probably qualifies. A flying Necropolis filled with more indead horrors your mind can comprehend.
There is also the halloween-feel to Duskwood from Darkshire to the Worgan raids. The whole area also often plays host to the Headless Horseman, Pumpkin Fest, and Trick or Treat Mask give-aways every year.
Underworld from Fallout 3 is the closest the setting can offer. It's a settlement of ghouls (in the Fallout universe, this refers to ageless Technically Living Zombies who're usually sapient and got their condition from being massively irradiated) who took up residence in a museum exhibit about the afterlife, hence the name and the giant stone skull over the gate. Many of the people and places in there have names relating to death and mythological interpretations of the afterlife.
The "Wacky Worlds" expansion pack of RollerCoaster Tycoon 2 lets you put Halloween and "horror"-themed decorations in your park, along with the option of bare dirt (or whatever you want) for the ground. Some rides are even Halloween themed.
The Transylvania world in Looney Tunes Bugs & Taz Time Busters.
The town of Threed in EarthBound at least before you beat Master Belch, it features zombie dogs, zombies, ghosts, a graveyard, coffins in an underground path leading to Grapefruit falls, and even a totally blatant Halloween enemy called the Trick or Trick kid.
Outrun 2006 has one of these scenarios as race track.
The Neitherworld in the animated adaptation of Beetlejuice. It's full of bizarre buildings, gothic looking scenery, twisted backgrounds, and strange creatures of all shapes and sizes. Of course, the creatures are, for the most part pretty friendly if a little strange.