Whereas a lot of people see Halloween as a repulsive commercial feast brought over by American multinationals, the origins lie in the early pagan rituals which were subsequently inherited by the Christians as the day before All Saints to appease to the new converts.
|"The Headless Horseman Pursuing Ichabod Crane" by John Quido|
The most important thing before you start designing folklore is knowing your own. For people wanting to read up on the world's folklore, I suggest checking out http://worldoftales.com/ which contains a lot of folk tales, fairy tales and fables from all over the world. For more specific stories from your neighbourhood, the library or older people are your main source of information of course.
If your story is set in the real world or a different version of our world, keep in mind that folklore is publicly available and you can use it in your project freely (as long as you don't claim to have invented it). For those that want to write their own, try studying "real" folklore to get a feel for the writing style and meanings therein. Folklore can range from superstition to a construction of complex and multi-layered meanings.