You can buy really good ones now, and they're often quite cheap. If you are making your own, I'd still suggest having a look online first to get ideas - there is a good selection here for all ages.
Some costumes are easier to make than others - a witch is quite easy, for instance. You can make a conical hat from stiff black paper and use a length of black material for a cloak. Then you just need a longish black skirt, maybe a pair of striped socks and something to look like a nose (you could always buy a false nose, they're very cheap). Devil costumes are easy too - red cape, red tights and either buy horns and a tail or make them (there is a good guide here). Vampires are easy too, and quite effective because you can make yourself look really scary with some white make up and black eye liner.
You can get more ideas by typing the kind of costume you want, eg 'devil costume' in a search engine and add the word 'make' - there are instructions and ideas for most kinds.