1) Halloween's origins. In contrast to the holiday of Thanksgiving, Halloween's origins are decidedly non-secular in nature. For many historians, Halloween has pagan origins (Celtic holiday dating back to the 5th century BCE), and was subsequently influenced by Christianity to become All Hallow's Eve, the day preceding All Saint's Day. Due to its religious origins, a Jew is forbidden to celebrate it. One can argue that the religious elements of Halloween have been extracted from the holiday, and now, it's only a secular holiday in which children eat lots of candy. Although it is [theoretically] possible to remove religious origins from a holiday, it is still difficult, if not impossible, to remove it completely. And even if you want to ignore traditional Judaism's prohibition on observing religious holidays of non-Jewish origin, there are other Jewish reasons not to celebrate Halloween.
2) Imitating the non-Jew. Based on Leviticus 18:3, Tosafot laid out two different types of actions done by the non-Jew that cannot be imitated (Avodah Zarah 11a). The first is idolatrous acts. Even if you want to argue that Halloween is not "idolatrous," there is still the matter of the second category: foolish customs found in the Gentile/non-Jewish community. In order for an action to be disqualified from this categorization (e.g., a physician wearing a special garment to identify himself as a doctor), one needs to be able to explain the rationales of the actions independent of Halloween. Since none of the Halloween traditions can be explained in such a rational manner, Halloween and the customs that come along with it have to be considered un-Jewish.
3) Choosing Life. Deuteronomy 30:19 tells us to choose between life and death, and how we approach Halloween is no exception. With all of the skeletons, ghosts, and zombies, not to mention having a goal of "scaring people to death," Halloween is a glorification of death. No matter how you market it, Halloween is very much rooted in the motif of death, and that has no place in Jewish life.
4) "Trick or Treat." Think about that phrase for a moment. "Trick or treat." What first and foremost annoys me about the practice about trick-or-treating is the presumptuous self-entitlement mentality that comes along with it. Not only is it belligerently demanding to say "Trick or treat" because you feel entitled to candy from your neighbors, but if you don't give candy, you threaten your neighbor with a "trick" (read: punish your neighbor for not giving into your indulgence, i.e., that coercion is strong enough where one could make a halachic argument for giving candy only). Commanding that someone give you something for nothing while threatening the individual with a "trick" does not line up with Jewish values in the slightest.
5) Taking versus Giving. If you, as a Jew, are worried about not being able to dress up in a costume, don't worry because we have a time of year for that. It's called Purim. Rather than inculcate the mentality of taking like Halloween does while perpetuating an obesity problem, what Purim does is inculcate the joy of giving by requiring two mitzvahs: a) sending baskets of food to at least two family members or friends (משלוח מנות), and b) giving money to at least two poor people.
To live a Jewish live does not mean to live a monastic lifestyle. It doesn't mean self-deprivation, and it certainly doesn't mean living separately from people who aren't Jewish. However, it does means in order to live Jewishly, there are certain distinctions we have to make because Jews have a different mission in life, and as such, certain boundaries have to be drawn. Halloween is a holiday for certain non-Jews, and Jews have their own holidays. There are certain holidays, such as Thanksgiving or Fourth of July, where the Jew and the non-Jew can come together because there are no religious qualms to speak of. Conversely, there are certain holidays such as Halloween, Christmas, and Easter, and these are instances in which Jews need to say "Look, they have their holidays. We have our holidays. What makes this pluralistic society so wonderful is that we can each observe our own holidays in the same country, and it doesn't cause conflict." Jews don't need to celebrate every non-Jewish holiday out there because quite honestly, there are more than plenty of Jewish holidays that a Jew can celebrate.