Raised as a Christian, at points in my life according to a protestant Christian tradition in which we also did NOT celebrate Halloween, I made Teshuva as an adult (who has not yet been blessed with marriage and children...may this soon change, if Hashem so wills it ~ IYH, Inshallah).
As an adult Baalat Teshuva, I do not celebrate Halloween, according to Halakha, nor do I encourage those within my family who are non-observant to do so.
Based upon my own past experiences, I agree with those above who identify the two major concerns that children have about not celebrating a non-Jewish, secular holiday with pagan (and idolatrous!) roots such as Halloween (as well as JCmas, as celebrated): (1) feeling deprived of the joys and "fun" of the experience ~ dressing up, sweets, celebrations, and (2) feeling "left out" or "apart from the others".
It seems to me that (1) alternative joyful experiences can always be created within the home, among family and/or fellow members of one's community, in a manner that does not validate that which is contrary to our tradition in any way, and that (2) it is a very important lesson in life for a child to CHOOSE early on that who he or she is, and his or her relationship with Hashem, is cherished, and to be defended in the face of pressure to "follow everyone else".
Though younger children are incapable of understanding Torah foundations more deeply, older children certainly are, with the help of an adult (especially a parent) willing to take the time and care to discuss with them...