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One of the earliest examples we have of people donning costumes comes from Hallow Mass, a ceremonial mass dedicated to prayers for the dead. People appealed to their ancestors for everything from happy marriages to fertility, and costumes were a part of that.
It wasn't until the Victorian era that the idea of dressing up really went mainstream, and a lot of that started with the Robert Burns poem "Halloween." Originally, the best costumes were the ones that were creepy, which isn't entirely surprising. The Victorians were obsessed with the idea of spirituality and the afterlife, so pioneering the ghost costume made a lot of sense.