Well, I do not celebrate Halloween.
Possibly the closest Jewish holiday to this, in terms of “dressing up,” may be Purim (פורים). Typically, children dress up, go to parties and eat a ton of candies on Purim. Plus there are many other things we do, but that is how it is similar to Halloween, I think.
More details at http://en.wikipedia.org/wiki/Purim.
Happy Halloween to everyone who celebrates!