It's important to remember that Halloween is, at it's heart a harvest festival. For a lot of people it's that "start of the fall season" even though not technically correct. You will see a lot of different things, a lot of them having roots in harvest festivals you may be used to.
Things to be aware of:
Halloween is in part a children's holiday. From dusk-ish til full dark (and some times after) children will run around begging candy from strangers to the sound of "Trick-or-Treat". If your home during these hours expect to have to dish out some candy. Buy some individually wrapped candies. The stores will have rows of the stuff this time of year. 2-3 bags should be enough.
You can opt out of the great candy give away by turning off your porch light. When the porch light is on, then your givin' it away. Porch light off, your a weirdo - shut in who doesn't like kids.
During the daylight hours it's not unheard of to have children and adults ware costumes to work and school. So be prepared for that. For adults companies usually state that you can ware a costume or not. Just remember that work costumes still have to be decent.
After Dark - This is when the fun begins for adults. Some people have costume parties. You can go to one of those. Make sure to check the "costume type". Many private parties (and clubs) have a theme. Make sure your comfortable with the theme. Some times, they may be more interesting then others. Boundaries of decency are usually pushed at these parties. Doesn't mean you have to, but someone there usually will. Make sure your comfortable with that.
Theme Parks and the like will usually offer "Haunted Houses" or "Halloween Nights". Those can be fun. If you ware a costume keep in mind you still have to get through security.
In short, Halloween can be broken down into 4 main parts. You can take part in as many or as few as you like.
Family Harvest fun. This includes Pumpkin carving, hay rides, farm visits, and fairs. These are usually done during the day. Theses are family friendly.
Candy Begging. Usually from just before dusk (young children and parents) to just after dark (young teens, no parents). Remember, light on = your giving away candy, light off = no candy
Scare the crap outta ya. It's fun to be scared so there are movies and scary things to do from haunted houses to horrible B movies at the theater. Some are scary, some are just god awful tacky. Make sure if you do movies you try and watch both. These go all day and night, usually later at night = more scary but that's not always true.
Masquerade! These are usually at night, and generally not kid friendly. The general idea is "any thing goes cause I got a mask on". Make sure that when you choose your venue for "any thing goes" your comfortable with the definition of anything that the location is using. Sometimes it's just drinking and sexy costumes, other times it's dancing with people in their favorite cartoon costumes, but there are places that are much more liberal with their definition of "anything". What ever you do go with friends you trust. That's just a good all around party rule.