The biggest money saver for me is being creative with costuming/decorations and DIYing it.
When my kids were small, I used to get Disney's Family Fun magazine. It always had GREAT costumes made from stuff you already have around the house. My daughter was talking just the other day about the year I made her a Cyber Power Princess with an idea from that magazine: It was just a denim mini-skirt and shirt she already had, a short bright blue wig from the party store, and aluminum foil "bracelets" around her wrists and ankles. She remembered that from 12+ years or so ago!
Of course, today Pinterest has the same type of stuff, but the internet wasn't quite so full back then.
I guess the real Mustachian thing to do would be to leave your porch light off and not give anything out. You can't make your own food to give away because parents would be afraid of poison or razor blades or something. As a kid, my parents made me sort through the candy and throw away anything with a torn or missing wrapper. I wasn't allowed to eat any candy during the trick-or-treating itself.
Short of not participating, here's something cheap I've done: After Halloween when everything's 1/2 off, I've bought Halloween rings or bubbles or pencils or similar stuff. Those things will last a full year without any loss of quality (and my family won't eat up spider rings), and when paired with a piece of cheap candy, that's a pretty good score for a kid!