The traditional halakhic answer, finds Rabbi Michael Broyde, is: nothing. Well, maybe hand out candy. But certainly neither trick nor treat. As he writes (reprinted at MyJewishLearning.com):

Based on this [preceding halakhic analysis], in order to justify candy collection on Halloween, one would have to accept the truthfulness of any of the following assertions:

1)  Halloween celebrations have a secular origin.
2)  The conduct of the individuals "celebrating Halloween" can be rationally explained independent of Halloween.
3)  The pagan origins of Halloween or the Catholic response to it are so deeply hidden that they have disappeared, and the celebrations con be attributed to some secular source or reason.
4) The activities memorialized by Halloween are actually consistent with the Jewish tradition.

I believe that none of these statements are true... Applying these halakhic rules to Halloween leads to the conclusion that participation in Halloween celebrations--which is what collecting candy is when one is wearing a costume--is prohibited... The question of whether one can give out candy to people who come to the door is a different one...

Writing for CLAL in 2000, David Nelson argues that American Jewry ought to create a new Jewish holiday in order to co-opt Halloween:

Halloween is such a strange time for many Jews. Rabbis, educators, and day school directors remind their constituencies constantly about how un-Jewish it is, how pagan and Christian it is, how we shouldn't participate... Meanwhile, these pronouncements are ignored by thousands of Jewish children who enjoy Halloween!...

...About 20 years ago, a friend and teacher of mine, Rabbi Everett Gendler, told me that in his shul they make "Ya'akov lanterns." At the time I chuckled and filed the tidbit away without further thought, but the time has come to dust it off and think it through. We Jews have a long history of borrowing customs and rituals from the culture in which we live...

...The Jewish quality of these rituals, objects and customs comes not in their uniquely Jewish origins, but in how we have adapted them to function as vehicles for uniquely Jewish meaning. So, for example, we borrowed a child's spinning top from our Christian neighbors in medieval Germany. On the four sides of the top were written abbreviations for instructions on playing the game: nicht - nothing, ganz - everything, halb - half, and stell - put. On our tops we wrote the letters in Hebrew: nun, gimmel, hay, shin. But they still provided a digest of the rules of the game. Then we transformed the whole thing into a vehicle of Jewish meaning - nes gadol haya sham - a great miracle happened there.

Can we perform a similar transformation on Halloween? It is, after all, a well loved holiday for many people, and would thus be a highly attractive means of communicating some Jewish message. Let's see what happens when we try.

Nelson lays out a possible vision of the new Jewish Halloween, which he entitles "Chag Or Habayit--the holiday of the light of home."

These suggestions may sound tongue-in-cheek, but I intend them as a challenge. We who live in an open society, who no longer must fear the Evil Others among whom we live, must now begin to think through what elements of the ambient culture can enrich us. I am honestly not sure if I'm ready to carve a Ya'akov lantern, but I'm certainly willing to consider it. Are you?

You may agree or disagree with Nelson's argument, but it seems to me that his analogy linking medieval cultural fluidity with the modern design of a new holiday fits well into the conceptual model explained by one of my favorite quotes, from Harvard Biblical scholar Jon D. Levenson, on page 7 of this book:

The suppressed or forgotten past provides precedents helpful in dissolving the current consensus: historical criticism is invaluable to the venerable liberal (and, in my view, illogical) argument that the inevitability of unwilled change legitimates willed change, that the historical reality that the tradition was, de facto, always changing validates, de jure, contemporary efforts to alter it.

Whatever traditions you do or don't alter, have a happy Halloween... or, if you're a traditionalist, have a happy but altogether normal day on the 31st.