the best cold Halloween costume is either the Michelin Man or the StaPuft Marshmallow Man...
My Granddaughter went one year as a lamb (it fit over her snowsuit), another year as a Care Bear, and another year as a Dragon, all of which were costumes thick enough that they'd have been too hot in other climates. The year she was a lamb, it was about -20, and she made out like a fat rat, partly because few were out and about, and partly because she was so danged cute, with a million dollar smile.