I don't normally do anything special, but I did play through the first or second Silent Hill a couple of years ago for October. Most of my festivities involve horror movies.

I don't have access to my consoles right now, so I probably won't get to go with my original plan for this year. Strangely enough, I was also going to play through Fatal Frame! Closest I can get is my current playthrough of Danganronpa 2, but that's not really horror! Maybe I'll pick up Corpse Party and play that this month.