There are also candy trails in which you can go trick or treating (for free), event merchandise you can purchase, sometimes the bakery has special treats themed to the event.
Jack & Sally and the Dwarves have the longest lines, people start to line up for them before the party starts (5:30 ish). You can enter MK at 4 pm with your party ticket. If you are going to be there during the day with a park ticket, go get a wristband at 4 pm. Other characters include Mickey and the gang and Pooh & co in costumes, princesses with their princes, villains, other rare characters (Tarzan, Jane and Terk), and Jack Sparrow.
Rides tend to have shorter waits, especially during the first parade and later at night. The parade and fireworks are a must see. However, you do tend to have to pick between focusing on rides vs doing the event characters/shows/entertainment, as it is near impossible to do everything.