Both times I've gone to the party (once solo, once with another adult) I dressed up. So many people do that I'd probably feel left out if I didn't wear some sort of costume. This last time we went as pirates (mostly because it's pretty easy to put a pirate costume together from random odds and ends, and you can make it relatively lightweight). When I went solo I made an enormous snake puppet -- my entire arm went into its front half and the rest wrapped around my shoulders. I got tons of compliments on that and some great character interactions, but if I were going to do it again I'd wear something really lightweight for the clothes themselves, because it was like wearing a scarf and a full-length sleeve. It's easier to do than it sounds, too; I just pinned the fabric inside-out around my hand and arm in different configurations until I got the fit I wanted, put a little rolled up fabric in the head to pad it to the right shape, and from there I more or less just had to sew on eyes and tongue and sew the rest of it into a tube.
Other big thing to think about is whether you can get in/out of rides in the costume, assuming you want to ride anything that night (it's prime time, really; the lines are short and you can get ride photos in costume).