Khalilov was an accomplished musician and conductor, able to play many types of musical instruments, including the piano, with proficiency, and to conduct both choirs and bands. He conducted the thousand-strong massed military bands during Victory Day parades including the band's closing performance for the parade. Notably, he conducted the massed bands during the 60th, 65th and 70th Victory Day parades. These performances were of greater length than normal and the endings were somewhat unusual.
Khalilov was the last of the great conductors educated in Soviet times. After the fall of the Soviet Union, the band, along with the rest of the army, was in disarray. When he was appointed conductor of the Massed Bands of the Moscow Garrison, he worked hard to reorganize and rebuild it, to the point that it had a more prominent feature than before in the Victory Day parades. In 2003 the band fielded less than 400 musicians for the Victory Day parade but by the 2016 Victory Day parade, the massed bands had more than a thousand musicians led by more than 20 deputy directors, with 12 drum majors and 2 senior drum majors (for a total of 16, plus another 12 at the rear). In the 2010 Victory Day parade, Khalilov successfully conducted a huge combined band consisting of both Russian and foreign military bands. During the Spasskaya Tower Military Music Festival and Tattoo, Khalilov would sometimes conduct all the participants as they played the final song during the closing ceremony.
Khalilov described the effect these bands have in the following 2005 interview with the Los Angeles Times:
"Military music is incredibly important for Russians, because military music is a component of the Russian army, and the army has always played a crucially important role in protecting Russia's great statehood and in making it a powerful nation."
Khalilov was also an accomplished music composer apart from being a military conductor, and wrote many pieces for the brass band including "Adagio", "Kant", "Afghan", "Elegy", marches such as "Cadet", "Youth", "Rynda", "Ulan", as well as romances and songs. He composed many new military marches and songs, some of which he used in the Victory Day parades he conducted. It was announced on the third anniversary of his death in 2019 that a military tattoo titled the Valery Khalilov International Music Festival would take place between 29 January and 2 February 2020, specifically timed to honour Khalilov's birthday on 30 January.
The University of Georgia Hodgson Wind Ensemble honored Khalilov shortly after his death by performing one of his pieces, March Bodrii, with an empty podium to represent the empty space he left in the world of music. He died less than two months after conducting and touring with the band.