Costumes are straight-up roleplay
Masquerade parties are an old tradition. They’re your chance to step out of your identity and wear someone else’s skin (literally, if you’re going as Leatherface! Sadly, it is very difficult to pull off a Sexy Leatherface costume).
Even though you’re a rational adult, some part of you knows the night is dark and full of terrors. But if you dress up like a monster you just might sneak past them, and as a reward for your bravery you get candy!
So costumes let you feel brave or monstrous or -- as is frequently the case in Halloween -- sexy. Whether you’re a scary vampire or another, sexier but stupidly sparkling vampire, you get to be a fun version of yourself. And maybe the next day you’ve got a little more stride in your step, because you know what life can be like when you leave all of yourself behind and walk through it like someone you want to be.