Perhaps it's because I'm not originally an American that I think that costumes and dressing up are not just for Halloween. Where I come from we don't place that emphasis on that party day: so getting all dressed up isn't something we associate solely with that day.
And of course this is the correct way to look at things: getting dressed up is fun, putting on a role is fun and, if you're going to the right sort of parties at least, going to parties is fun. Anytime, any excuse is a reason for a costume party. For, of course, one of the things that happens is that female inhibitions slightly go to the winds: if one is playing a role, why not? So there are always those in girls sexy costumes which adds interest and spice to any evening.
Again because of my national background, there's something always rather interesting about those wearing things like the Lock-Lace Bodice costumes you can see if you click through: it's very similar to the sort of thing usually worn by the "principal boy" (who is of course the leading lady) in Pantomime.
Oh, and if you're going to have more than just that one costume party a year, do read through the blog for other tips: the one about making sure the make up matches the costume is only one of the good ones they've got there.