Why was Christopher Walken not credited in Sleepy Hollow?

Often actors are uncredited because they are making cameo appearances. To quote from the wiki:

A cameo role or cameo appearance...is a brief appearance or voice part of a known person in a work of the performing arts, typically unnamed or appearing as themselves. These roles are generally small, many of them non-speaking ones, and are commonly either appearances in a work in which they hold some special significance (such as actors from an original movie appearing in its remake), or renowned people making uncredited appearances.

Of course, there are other reasons as well, including contractual disputes, oversights, lack of speaking parts, no renumeration for part and thus no interest in crediting.

To give a number of examples, along with Christopher Walken in Sleepy Hollow, of actors being uncredited:

• Don Cheadle is famously uncredited for Ocean's Eleven (due to a dispute about where he appeared on the billing for the film).
• Ashton Kutcher is uncredited for Cheaper by the Dozen (despite being arguably the main antagonist).
• Owen Wilson is uncredited for Night at the Museum.
• Raúl Juliá is uncredited for Havana.

So in short - the reason he was uncredited isn't specific to Sleepy Hollow or Christopher Walken. There are a variety of reasons why actors sometimes choose to be uncredited and for this reason (likely due to the fact he has no spoken lines) he chose to be uncredited.