'Trick or treat' is a saying that is said while 'trick or treating.' So, kids go 'trick or treating' and when they get to the door, they knock, and once the door is answered, the kids then say 'trick or treat.'

Matt covered it pretty well, but I would add that you can also use "trick-or-treating" as a verb in the continuous tenses: Where are the kids? They're out trick-or-treating.

Most people didn’t say ‘Trick-or-treat!’ when they came to my house yesterday. The original idea behind this phrase is that if you didn’t receive candy, you would retaliate by causing some damage (the trick). So it was originally a threat. That hasn’t sounded too appropriate for a long time and ‘Happy Halloween!’ was more common among trick-or-treaters. Or when it was said, it was said cheerfully with a smile, not as a threat!