have you tried some homemade ones? Family fun has great ideas that are not too expensive to do.
Last year my son was "Pie" and I made it out if felt-cheap and he loved it. I have also made "jetpacks" out of 2 liter soda bottles and duct tape, and we used current toys he had to make him a spy.
Do they have any ideas for things they would like to be that are not characters? Like Fire (wear all red, spike up hair and spray with red spray paint, and paint their faces red).
I saw a cute voting box they year of the election-a cardboard tray and one side had a hole for Obama and the other for McCain and people would "vote" with their candy. Each side had a plastic bag to catch the candy. You could do a similar thing for sports rivalries (like here Steelers/Ravens would be a good one).
Do you have a Nerf hoop? They could wear a basketball jersey or referee shirt (get a white t-shirt and use black duct tape to make lines) and the hoop pinned to their shirts-the people could throw candy in the hoop.