Heidi Klum Goes As Sexy Cleopatra At Her Annual Halloween Party. We have one more celebrity Halloween costume to reveal to you today, and it’s Ms. Klum. For her 13th annual Halloween Bash, the celebrity and gorgeous supermodel decided to go as sexy Cleopatra. Her party isn’t until Wednesday, but we love seeing her costume early. Her glamorous Cleopatra look featured plenty of gold accents, a feathered Egyptian robe, long gold low cut-gown, and sparkling golden head piece. Talk about extravagant, but I think this is one of Heidi’s best costumes yet. See her full look below.