Absolutely!
On our last couple of trips in October this was the only time we bothered with MK; it's such a great evening. About 50% of people dress-up, so there's no pressure if you don't want to. If you do, check out places like
WalMart, SuperK, Target - all these do really great costumes for around $8-10 for kids and $15-20 for adults. We've got a number of costumes at home from our trips and they are great to use again for our halloween parties
It's a completely different atmosphere in the park. Try and get there early. We've spent 4-5 hours in Typhoon Lagoon, then back to hotel for another swim for water-mad DD

, grabbed some food then got into MK around 5 - 5.30pm. You're given a wristband to wear and told which part of the park to gather before they close it to the public. It's a great way of going on the rides with no queues at this time.
The Headless Horseman starts off the parades, which are pretty cool as the characters are wearing halloween type costumes.
There are trick or treat stations all over the park - you WILL come back with a bag full of sweeties, you get a free photo done (make sure you request a copy for each member in your party

).
When are you going? My DB and his family are off on the 25th and they've got
MNSSHP tickets ordered over the phone and collecting at will-call in the park since there are so few left.