Chicago Women's Park has the Friendly Trail around the park, details are on the Park District's website. PDNA has a Halloween party on 10/27 and then organizes a pre-trick or treating parade on 10/31. Hope that helps!
If you want your kids to be really spooked and scared send them south on State Street or South on S. Michigan...you know, past the Stevenson Expressway. Unless they are stupid your kids will be scared.
The Prairie District Neighborhood Alliance always has amazing Halloween Events for the whole family. They even have a Halloween Family Parade followed by trick or treating in the Prairie District. Go to thier webistie for all the details. http://pdnachicago.com/page10.php