I love
Child's Play Quick and Easy Costumes
. It's got all sorts of ideas for making costumes, ranging from really quick things held together with glue and tape to more durable stuff that's sewn.
My favorite trick for frugally making costumes for DD is to use pajama patterns instead of costume patterns so that she can keep using the outfit long after halloween. For example, one year she wanted to be a tiger so I made a one piece sleeper out of tiger-print fleece and used white fleece to make the white tiger tummy. I used the same fleece to make the tiger "head." All that I did was modify a very basic winter hat pattern by inserting ears in the top seams. I finished the costume up with an easy tail (attached with a safety pin) and face paint.
It was really easy, and my favorite part was that dd wore the jammies all winter long AND used the had as her absolute favorite winter hat.