When the kids were very little, I would arrange a neighborhood party. There would be lots of games and a contest for the best costume (no scary costumes allowed). As they got older and went to school, they went out with their friends. Since that was 20 years ago it was relatively safe. Although, one year there was a threat of razor blades in the candy and our local police department made arrangements with the hospital to x-ray the children’s candy.
On a very practical level, what do you do with bags of candy that you would rather your children not have? Through the years I have bought back the candy, which depending on the number of children you have can be a very expensive solution.
I have also gone head to head with grocery stores and drug stores in our neighborhoods who had frightening decorations. I challenged them on behalf of toddlers that shop with their parents in the stores.
On a faith based level, as soon as my children were old enough I talked frankly with them about the origin of the celebration and how it was in conflict with our belief system. It is, however, important to teach them not to judge others with different convictions and yet not compromise their convictions. Actually, it is a good time each year to teach that true humility is standing firmly on the principles you believe and be able to express them without pointing fingers and having a prideful attitude.