Also like Lafferty and Powers, Wolfe is not an author of horror fiction per se, but infuses strong elements of horror and monstrosity into most of what he writes. The supernatural and paranormal sit uncannily alongside the scientific (both modern and futuristic) in most of Wolfe's major works (though there are also some set in ancient times or parallel worlds of a more Medieval variety). You can usually count on running into a good number of gods and monsters and magic and violence.
In all his work Wolfe is playing literary games with pulp fiction, investing strange and bloody adventure stories with the weighted complexities of modern literature's fixation on psychology and sociology. This tends to slow down and deepen the adventure quality, often to a bewildering degree. You will definitely get your sense of wonder evoked and your thirst for adventure quenched when reading Wolfe, but in a way that is totally disorienting and unsettling.
But as I say, all this literary depth is peppered with the stuff of dreams and nightmares. There is much otherworldly beauty and terror, both noble and ignoble monstrosity, the horror of the holy as well as of the hideous. Wolfe's is a very intergalactic ecology in which you will encounter a fecundity of monstrous alien flora and fauna, by land and air and sea and stars, of a variety that can be very hard to describe. Wing and fang and fur and claw and horn and tendril and talon - and brute strength and gigantic size and bizarre shape and strange powers - are all present and together produce a generous current of frisson throughout the works. In the Gene Wolfe Bestiary there are Notules (shadow-bats would be totally misleading, but that at least begins to get in the ballpark), underground Man-Apes, the fiery Salamander, the Alzabo (huge hyena-like creature that speaks with a child's voice, very skin-crawling!), which is possibly the cousin of the ghoul-bear (carnivorous grave-robbing hyena-bear-ape-man), a giant undine rising from a river, shape-shifting vampiric Inhumi (and many other shape-shifting lifeforms), as well as shark-men and talking animals and giants and dragons and werewolves and on and on.
Barlowe's interpretation of the the Alzabo. More like the Ghoul-Bear to me. I pictured Alzy a little more like this.
All of Wolfe's horror and adventure usually takes place in very decadent, baroque, and ornate settings. So a Wolfean Halloween would probably involve us in sashes and circlets and laurel wreaths and robes and rings and armour and cloaks and gauntlets and swords and halberds and braziers and pavilions and canopies... as well as innovative extraterrestrial monstrosities! Not sure if that's really my scene but I wouldn't mind witnessing it. To each his own variation on Halloween, so long as we all share in the night's numinosity.