If you're in Chicago on Halloween, head to Boystown for the Northalsted Halloween Parade. The annual parade along Halsted, the beating heart of Chicago's gay community, brings out fire twirlers, drag performers and some of the city's best costume-makers.
The best costume I've ever spotted was an elaborate ball gown made of glossy magazine covers. It had an equally elaborate headdress to match. There are usually also lots of Elvises, transformers, doctors, Waldos, etc.
There's a stageshow along the parade route and several categories of costume contests, including one for pets. Take the #8 Halsted bus or the red line El to Belmont or Addison, depending on where along the parade route you'd like to stand.