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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.
The Dreaming in The Sandman resembled this, especially early on when the series was less fantasy and more horror.
Casper and the Spectrals has Spooky Town, a city segregated into numerous boroughs for different supernatural beings that competes with each other to scare normal humans and ensure the local Sealed Evil in a Can stays sealed.
Photographer Walter Wick's book series Do You See What I See? has one instalment that involves exploration of a Halloween Town, starting from a hill overlooking the town, down into the streets and finally to a spooky house at the other end of the village.
The freeware tabletop RPG Pumpkin Town takes place in a small world inhabited by all sorts of Halloween monsters, who live in an otherwise-ordinary small town setting until Halloween night, when gateways to the mortal realm open up and they denizens can pass through and go trick-or-treating or do whatever other mischief they think they can get away with.
Animal Crossing has the Spooky furniture set, which can only be found on—of course—Halloween. It allows you to turn your house into one of these.
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 filled with enemies. (Don't get us wrong, the Forsaken are mostly assholes, especially the Apothecaries, but still.)
As far as actual dungeons are concerned, Naxxramas probably qualifies. A flying Necropolis filled with more undead 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.
Gabrielle's Ghostly Groove takes place in the town of Monsterville, which naturally doubles as a Monster Mash.
This is what Prague is set up to be in Sly 2: Band Of Thieves. It even comes with it's own set of monsters, a guillotine, a gothic castle, and a countess with spider legs to rule over.
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.