There are two kinds of scary Halloween costumes: the "I'm dressed as a serial killer or a monster, and you must be afraid of me" kind, and the "Oh god, why is that baby mask looking into my soul? I will never sleep again" kind. I have always found that costumes not intended to scare me are much creepier than those that are obviously trying to frighten me. It seems that in the past, ALL costumes fell into the first category.
I personally remember how in the '80s, every kid's mask during Halloween looked like something out of "The Purge." They all had this uncanny valley feel, like the person behind the mask isn't actually your best friend but a very short serial killer waiting for the right moment to pounce. It appears that the further back in time you go, the creepier the costumes become. Once you reach the 1930s and beyond, it's just pure nightmare fuel.