Halloween is traditionally the time when the veil is thin between this world and the spirit world. So the supernatural - ghosts, witches, skeletons. It's linked to the Celtic new year, Samhain. In the Christian calendar it's the night (or e'en) before All Saints Day on 1st Nov and All Souls Day on 2nd Nov, when prayers were said for the deceased.
It has absolutely nothing to do with chainsaw massacres or psychos in motels murdering naked women in showers.