For one thing we get to decorate in spooky or glittery ways that most people would think is completely weird. Secondly, you get to dress up and party with family and friends. My family loves cosplay, costume play, and Halloween is just one more day we get to dress anyway we want.
My favorite cosplay I've created so far was for last year's Halloween. I had a pair of green fairy wings and a dress so I decided to reuse those to become a wind-up fairy doll. It worked out gorgeously, except for one small thing I didn't factor into. The key didn't spin. At first.
In costume, my family went to the elementary school Halloween dance and I spent the whole evening explaining to the kids that the key on my back didn't actually turn. They all kept trying to turn it. So of course we had to evolve the key to actually turn. Unfortunately, I don't have a picture of that model, but you'll see above what it evolved into. 
This year? The Queen of Hearts. Next year... Queen Esther from an anime called Trinity Blood. Very elaborate and very sparkly. What was one of your favorite costumes? Did you make it or buy it?