Spray an 8x8 baking dish with cooking spray. Preheat oven to 350°F.
While still whole with stem in tact, carve the eyes and mouth of your Jack o’Lantern on each bell pepper. Then slice off the top keeping the stem in tact. Remove any seeds and white pith from the inside of the pepper and finish punching out any of your carvings that didn’t come loose from the outside. Don’t worry if the stem falls away from the top, you can just rest it on top when baking and no one will ever know the difference:)
Heat oil in skillet and saute shallots over medium heat until translucent. Add mushrooms and continue to cook for five minutes longer. Set aside.
Meanwhile, cook wild rice according to instructions. When cooked, mix with all of the remaining pepper stuffing ingredients: sautéed mushrooms and shallots, arugula leaves, goat cheese, egg, Parmesan, lemon pepper, salt and pepper. Mix well.
Stuff the carved bell peppers with the wild rice filling.