Two Ninja Turtles And A Pirate
The Masters Brothers are all prepped and ready for All Hallow's Eve!

"Hallow" means "saint".
Halloween (October 31) was the eve of All Saints Day (November 1) when Christians remembered, particularly, the canonized saints. 
The next day was All Souls Day (November 2) when ALL the departed were remembered.

Early on, it was believed that, just prior to All Saints Day, any of the dead who wanted to seek revenge or vengeance upon the living were given that opportunity on All Hallows Eve.  
So,  people began to wear costumes on this night to disguise themselves! 
Hence, the custom of wearing costumes on All Hallow's Eve or Halloween began.