Sigh. Halloween has always been my favorite day of the entire year, but I'll confess that it's always a bit of a disappointment here.
We end up carving watermelons as jack-o-lanterns... it's not the season for pumpkins, and the squash that they do sell here have walls that are too thick. The watermelon is a good seasonal variation (plus, you can make yummy cocktails out of the juice)! I have heard that you can request a carving pumpkin ahead of time from your local verduleria, but I haven't asked and have no idea what a real pumpkin would cost. Good luck, and do post if you are able to track down carving pumpkins.
You won't find any "good" costume shops anywhere in town (that I know of, but I'd love to be proven wrong--I have relatively high standards, and my favorite "generic" costume shop was Display and Costume in Seattle... ahh, I miss that store), but the costume district where you will find things that you can make into a functional costume are down on Lavalle between Puyerredon and Junin. There are a million fabric stores if you're feeling industrious, but depending on how seriously you take your costuming (I used to take it pretty seriously, so I find it disappointing) you'll find low-quality wigs, masks, corny hats, necklaces, etc. Most of the stuff seems to cater to carnivale-esque attire (feather and sequin headresses), belly dancing, even weirdly sexual/phallus related gear, but if you're creative you can find something to make a decent costume. I know that there is a Kryolan store in town, but the prices are extremely high for the good quality costume make-up (but you can find spirit gum and other essential there). There's a bit of lower quality but servicable costume makeup in some of the perfumerias around town--the one on Scalabrini Ortiz and Cordoba has a halfway decent selection. Another good idea would be to contact the people who offer the special FX make up classes to ask about thier suppliers. I would love to find some good foam latex prosthetics!
I don't know of any parties yet, but I'm sure that there will be at least a few Halloween themed parties around town.
Good luck!