"Trick or treat" is a hangover from the original Halloween, when kids would sneak out and go around wreaking havoc. They would tip over sheds and privies, throw eggs at houses, etc. Encouraging children to come to the door instead, show off their costumes, and chant "Trick or treat!" put the kibosh on most of this behavior. (It also brought the kids close enough to describe to the neighborhood cop in case they decided to egg the place anyway, but I doubt that most of them realized this!) Kids these days just know that "Trick or treat" is what you say to get candy.
Oh, and we also do bobbing for apples at Halloween parties. If flu is going around, this may be changed to sticky buns or hot dogs on strings hung from the ceiling, a prize to the first kid to catch it and everybody gets to eat one. Speaking of parties, Halloween parties are actually the older approved tradition.