I am totally for it. It's a big deal in my neighborhood, we get 600 trick or treaters on average. Their aren't actually many children here, but it has gotten a reputation as a good place to trick or treat, so we have just gone with it. We decorate and wear costumes and sit on our porch and hand out candy. My husband and I are minions this year. We love seeing the little ones in their costumes.
I think the scary aspect of it is fine, you are showing your kids that things can look scary, but they are just pretend, it's a way for them to confront their fears and learn to deal with them, I think it fills a need. Of course if you have a fearful child you just don't take them out at night, there are plenty of daytime activities for the little ones. I can tell you that every child I see is having a really, really good time.
As for the candy, I don't think something you do once a year is going to harm you, it's the day to day sugar consumption that will do you in. being able to indulge once a year is one of the fun things about it. We keep buying more and more candy hoping to have a few left, but that hasn't happens yet, we spent $60 on candy this year.