For the syrup, combine sugar and water in a medium saucepan. Bring to a boil and stir to dissolve the sugar. Add the honey, cinnamon and orange juice. Reduce heat and simmer uncovered, 10 minutes. Allow to cool to room temperature.
Preheat oven to 325 F. In a small bowl, mix the walnuts, sugar, cinnamon and nutmeg. Place 2 phyllo layers in a 15 1/2" x 10 1/2" x 1" buttered baking dish. Brush the top layer with melted butter. Continue layering the dough until you have 12 total, buttering every other sheet. Keep the dough covered with a damp towel to prevent drying. Sprinkle with 1/3 of the walnut mix. Add 6 more sheets, still buttering every other one. Sprinkle another 1/3 of the walnut mixture. Layer 6 more, still brushing every other one. Sprinkle the last 1/3 of the nut mixture. Layer all remaining pastry sheets on top, brushing each one with butter. Also butter the top sheet.
Bake for 60 minutes or until golden brown and crispy. Remove from heat and pour the cooled syrup over the hot baklava. Allow the baklava to cool to room temperature. Using a sharp knife, cut the baklava into squares or diamonds.