Halloween can be a great holiday if we practice some safety tips.  Since I spent 12 years with the police department, I thought I'd share some tips from a law enforcement point of view.
So here are some good trick or treating tips:
1. Always go in a group
This comes down to basic safety, a lone child is more of a target than a group of children accompanied by an adult.
2. Think safety when choosing a costume
While the little costumes with masks can be cute they really aren't safe.  Masks  limit vision.  Children can easily trip over abjects they don't see.  Use makeup instead.
3. Light, light, light
The adult should carry a flashlight.  Not only can you see uneven areas of the sidewalk but drivers can see you.  Each member of your group should carry a glow stick.  Again the drivers can see you.
4. Check the length of your costumes
Costumes should not be so long that you can trip over them
5. Stay in well lit areas
You want to be able to see and be seen
6. Obey all traffic laws
Don't allow children to dart across streets or jaywalk
7. Have an assistant
If you have an older child with your group, make them your assistant.  They can be responsible for keeping up with the stragglers and making sure no one gets separated from you.
8. Only go to houses who have on porch lights
Many people do not participate in the trick or treating ritual and the general rule is they will not have on a porch light.  Only go to houses who have some sort of welcoming feature.  If the light is on or they have a lit Jack-O-Lantern they are normally handing out the treats
9. Keep an eye out for pranksters
Sometimes older teenagers will use Halloween as a time to pull pranks.  While they may be harmless some are not.
10. If possible take your children to an organized function
Many shopping centers and malls across the country have started to organize trick or treats  among the merchants. You can take your child trick or treating at the mall and in addition to candy and other treats many have costume contests and other Halloween events.

The main thing is to put safety first.