I think this is a thread for "professional" bought costumes, but one of my favorite Muppet memories is from the Hallowen when I was 5. My mom "made" me a Miss Piggy costume out of some sort of fancyish looking dress, costume jewlery and purple gloves. Oh, and makeup. A lot. She had fun with that, I looked like a drag queen, not like Miss Piggy, but I didn't care. She taught me "Miss Piggy French" (sticking a couple french words into an English sentence.) and that's who I was. It wasn't particularly good, but it was fun and awesome!
(I still call it "Miss Piggy French" when someone just replaces the English translation with MOI or VOUS or any common French word.)