The origins of Halloween are somewhat hazy as they go back over 2000 years.
The word Halloween is a shortened version of All Hallows Eve
The earliest reference I can find seems to be the Celts celebrating Samhain on October 31st/November 1st. On this date it was believed that the boundaries between the worlds thinned and the spirits of the dead and other creatures such as fairies were able to come into this world and cause havoc. People lit bonfires, made sacrifices, gave offerings to the dead and dressed up to appease or scare away the spirits of the dead or possibly to disguise themselves in order to hide from or confuse these spirits.

The modern day practice of trick or treating could originally stem from the medievel practice of "souling", this was when the poor would go from door to door, requesting food in the form of "soul cakes" in exchange for prayers for the dead. In Ireland people would go from house to house, sometimes in costumes, collecting food for the Samhain feast and fuel for the bonfire. 
Another theory is that the Druids requested eggs, nuts and apples from each home in exchange for .  protection from bad luck such as damage to crops or livestock in the next year. Households that were not generous in their offerings were likely to have a trick played on them. These pranks were harmless enough, but intended to cause confusion ie changing the direction a gate opened.

The games we play at Halloween may well stem from the Romans. They had two festivals that they combined with the Celtic Samhain. The first was Feralia, a festival celebrating the spirits of the dead. The second was a festival to honour Pomona the Goddess of fruit, specifically orchard fruit. Her symbol is the apple which may have been where apple bobbing began.



http://www.history.com/topics/history-of-trick-or-treating
http://www.halloweenhistory.org/
http://en.wikipedia.org/wiki/Halloween
http://www.albee.org/halloween/history.htm