We did it every year until Owen was 3, that was the year that he freaked out.
He freaked out because of costumes like this:
Yuck, it makes me feel gross just to put this picture in, but I think it helps drive home the point. Owen would see stuff like this and literally go spastic. We even tried taking the kids exclusively to a church that did a Halloween/Harvest festival and people would show up dressed in things like the above picture. And we decided that it simply didn't make sense to take our kids out and expose them to gross things like this.
Some people think as Christians that we shouldn't participate in holidays that once had a pagan association with them, but I don't necessarily feel that way. We still do Christmas (although we don't do Santa Claus), even though we know that Jesus wasn't born in December, and I don't feel bad about that. But I do feel bad about a holiday that had it's focus on demons, etc. and people still like to use it to dress disgusting and glorify murder and nastiness and other things of that nature. We have had people say that it's not about that anymore, and I would agree that for most people it isn't, but that doesn't change the way my kids feel about the things that they see and the fact that I feel convicted to not do it.
Don't get me wrong, not every person feels the way that I do about it, and I am honestly okay with that. But we are definitely sensitive to what our kids can handle, and they can't handle this. And that is totally fine by us. I would rather not see the stuff above either. To this day at this time of year anywhere we go where they have scary stuff for displays Owen will tell me to look away because of the yucky stuff and either cover his own eyes or turn his head away.
If halloween were up to me people would be dressed in costumes like this
I would be all over Halloween if this was how people dressed to have fun and go get candy. But as long as it remains centered around gross and scary things, we will sit it out. And since that is kind of a major part of Halloween for many, we probably will always sit it out.
So each Halloween we let the kids pick a big bag of whatever candy they want and watch fun movies and play Yahtzee in the basement with all the upstairs lights out so people don't come knocking at our door.
And my kids don't miss going around at all.