I read this about 20 years ago (90's or maybe late 80's). The main protagonist is a guy trying to get away from organised criminals. He moves to upstate New York (I think) to live in the woods and begins to experience strange goings on with Pan like supernatural beings.
Sounds to me like Charles DeLint's Greenmantle from 1988, his second book. The protagonist was a former hit man trying to retire. He falls for his neighbor (who is being stalked by her ex-) and winds up getting involved in the mysteries of the deep woods.
Not far from the city there is an ancient wood, forgotten by the modern world, where Mystery walks in the moonlight. He wears the shape of a stag, or a goat, or a horned man wearing a cloak of leaves. He is summoned by the music of the pipes or a fire of bones on Midsummer's Evening. He is chased by the hunt and shadowed by the wild girl.
Several of the reviewers at Goodreads mention the mafia content (~1/2 the book) as well as the frequent use of the term "fercrissakes", which might be memorable to you.