I think it's a pretty cool idea...especially for some areas that have a rich history...
Side note: One of my daughters did this a couple years back with a twist. They did a haunted Forest, and had to narriate the lore of Halloween items like Jack-O-Lanterns, Witches, Spiders, Vampires etc... it was a fun candle lit walk thru the woods on a rainey night in October...
Not creepy for me either. My friend, he has a shop in Dover, NH. participated in the graveyard walk last year... it was a resounding success. This year, the event took place at another part of the town... all historic in nature, and so interesting. The cemetery is a wonderful place to learn about the past.