It's Final Fantasy, but with dress-up! But seriously, Final Fantasy V stands out from its brethren for more than the adorable sprite costumes that accompany each change of class. It's a story that takes you across the world, only this time, the world is a lot more expansive, from dealing with mummies in a desert tomb to flying across the mountains on a dragon and everything in between. It's the plot and antagonist that really make this worth putting on your Halloween list, though.
FFVI's Kefka is villainous in his own right, but Exdeath is the embodiment of evil, almost literally, considering the possibility that he was once the spirit of a forest, now turned corrupt. Along with his evil machinations, you've got a haunting (sorry) time-traveling, interdimensional tale of love, loss, and betrayal. That makes FFV much easier to recommend than that other costume-driven game, FFIII, since there is not much story in the latter. Plus, if you really want to scare yourself, you could play the mobile version of FFV.