This is undoubtedly a tense, suspenseful tale that keeps us on the edge of our seats until the final, rather shocking ending. Key to the style that Ambrose Bierce employs in this tale is his use of point of view and also the way that he presents the major events but in a non-chronological fashion.
At various stages in the story, the narrator switches between different points of view to report the action, varying between omniscient point of view, an objective point of view (in which the narrator reports without comment) and lastly a third-person limited point of view. For example, Bierce uses the third-person-limited point of view to describe Farquhar's desperate flight of imagination:
By nightfall he was fatigued, footsore, famishing. The thought of his wife and children urged him on. At last he found a road which led him in what he knew to be the right direction.
This allows Bierce's narrator to maintain a realistic stance--even as his mind flees reality. You might also want to think about the way that the story is told in non-chronological order. Clearly this stylistic device reinforces the intense pressure and psychological escape that we are witnessing in the few seconds before Farquhar dies, but if the events were narrated in chronological order, the reader might feel more sympathy for Farquhar before his hanging, diminishing the dramatic contrast between Parts I and III of the story.
Thus, if you want to comment on the style of this classic tale, considering the varying of the points of view and the non-chronological way that the story is related should give you a variety of comments to make. Good luck!