Interesting question, I have never been a big fan on the whole blade lopping off someones head and then then the actors walk toward the paytrons. When you come along to one of these sets, you know right away what will happen.
There are a bunch of 19th century things you can do, doing it the safe way is key to some of these things;
Exacusioner with a large ax
I think a headless horseman would work good for a haunt like yours and yes I know, where do I get a horse and rider??? And the costume???????
Maybe think about the horseman thing for next year, but I don't think it really matters if you start with a BANG or not. The building of the tension of the haunt and the paytrons is key to setting up the scare.
If you must have something to get they paytrons to be on edge at the starting gate, have an actor at the start to interact with the paytrons to get into their heads. These actors can really start the tension building, give your paytrons something to think about as they start to walk through your woods or what ever it is you do.