On Halloween. Halloween is a specific day and just like other days, we "on" is used. On Sunday, On October 12th, On Christmas, On Halloween.
However, if, like other holidays, the word "time" follows Halloween, to define the days or weeks surrounding the holiday, "at" is used. So, "On Halloween, the children dress in costumes and go Trick or Treating." and "At Halloween time, our neighbors decorate their home with ghosts and goblins."