What Landis seems to be doing here is a near-parody of an episode of the old Kolchak: The Night Stalker series. You've got the hardened investigator, you've got the quirky humor, you've got the strange series of serial killings, the bad monster suit, you've got the Native American theme (Night Stalker did two of them), you've got the quirky side characters, and you've got the open-ended conclusion.
I've never really overcome Benben's image as a schmuck from "Dream On," but he does an okay job here as the hardened cop beset by tragedy. Like Kolchak he's a skeptic that has to eventually face the conclusion something unnatural is occuring.
What's fun are the weird side characters. You've got Dana the morgue attendant, Einhorn the vaguely sympathetic boss, Fuches the jerk ("Shut up, Fuches!"), Bill the morgue assistant ("Why didn't you say hello to me?"), and the convenient "expert" (the casino manager) who just happens to provide our hero with the explanation.
The weredeer outfit looks about as realistic as the monsters in a Kolchak episode.
The humor is a bit overdone in spots, but that was typical in Kolchak, too, although without the fantasy sequences.
While Koclhak had its share of monsters that just disappeared at the end, as others have noted here the monster is a bit too ill-defined. There's no way to kill it, it doesn't have any real motive to kill, and basically it just goes away at the end. It's like Landis forgot to write the last ten minutes of the episode and just decided, "Heck with it, I'll have Faraday run her over with a car and shoot her, and she'll go away." The ending is pretty weak: it's surprising they didn't go with an ending of her showing up somewhere else and luring another man to her death. That would have least indicated the eternal cycle was continuing.
So overall I'd give it decent marks for humor, creepiness, and mild nudity. Can't go wrong with that.