For our nut allergy situation, we don't eat anything that "may contain" or "manufactured in a facility with" so the trick or treating is basically a no-go. We got tons of the allergy treats though but they aren't very exciting. They gave my daughter TONS.
Of the above list someone gave, we would only eat the starburst or skittles. However, I'm not comfortable eating all that knowing it's mixed with the peanut m&ms and possible contamination on the other packages, like if a bag broke open and there were nuts floating around.
It just depends on the allergy sensitivity and your comfort level.
If you go to town hall at the end of the night they usually hand out very full bags for the allergy stuff. At least, that was our experience.