Mycroft only really celebrated Hallowe'en once as a child. The idea of carving pumpkins was ridiculous and he certainly never went trick-or-treating, or 'begging' as he chose to call it. That is, not until Sherlock's first Hallowe'en.
Both Sherlock and Mummy had insisted that Mycroft take his little brother round the local houses, Sherlock in full pirate costume wielding a wooden sword in one hand and pumpkin shaped basket in the other, although even aged 5 he refused to call it that. 'It is not a costume, it is a career choice' he'd reply when asked, as he'd taken to wearing it every day six months prior, regardless.
Being the mature adult that he was aged 12, Mycroft begrudgingly accepted, and in a rather splendid vampire costume off he went. Although the elder Holmes to this day is adamant that he was forced into the outfit, at the time he quite enjoyed it. He found that he was rather fond the velvet waistcoat and matching ascot tie, though the fangs and upturned collar weren't his cup of tea at all. (He did however enjoy the fact that Sherlock, upon seeing his big brother looking ever so dapper, the next day decided to turn up his own coat collar. Sherlock never will admit to this of course. Even at the time he insisted it was merely the November air causing a chill on his neck. This resulted in him being bought his first scarf that Christmas, though as we well know, he never did return to wearing his collar down.)
After a little over an hour, the brothers finally returned home with their haul, Sherlock having upset most of the other children he had encountered by not only foiling their well thought out disguises, but by also accusing several of taking sweets from one another. He was right of course and thought he was doing them a great service in telling them so. Mycroft unsurprisingly had an altogether unpleasant time. The wet leaves ruined his beautifully polished shoes, Sherlock took off so quickly from one house to the next that Mycroft nearly had to sprint after him, and the boys his age had all made fun of his carefully slicked back hair and shiny cuff links. All except that Gregory boy that is, who told him he very much liked his ensemble and thought it rather suited him. Mycroft upon reflection decided he too was quite fond of Gregory's dashing police uniform, just as much back then as he was now.
Back home, it didn't take long for Sherlock to become preoccupied with adjusting his pirate hat and practising his cutlass wielding skills, and so Mycroft seized the opportunity. He felt he deserved at least a small reward for having to spend such a dull evening with his brother, and so, taking refuge behind the sofa, he carefully manoeuvred his umbrella to hook the little handle of Sherlock's overflowing basket of sweets, lifted it from the table on which it sat and retreated back to safety. Sherlock, of course, saw none of this but very quickly became bored of his one-sided play fights. It was then that he realised his pirate loot had been plundered and decided that this called for an investigation. After thoroughly searching the immediate area (on the table, under the table and behind the table), he quickly spotted a fallen lollipop on the sofa cushion and heard the unmistakeable rustle of sweet wrappers and the crunch of chocolate from behind it. He also became aware of the distinct lack of Mycroft in the room and his sharp young mind immediately deduced the obvious. Sneaking up on the sofa, sword still in hand, Sherlock caught the sticky-fingered culprit red handed. A vicious battle ensued, one brother armed with more traditional weaponry, the other with umbrella. Both quickly forgot about the half-eaten hoard of chocolates, especially when Mummy had to break up the fight and threatened to send them both to bed.
On subsequent Hallowe'ens, they decided that collecting sweets themselves, only to have their mother hand them out to everyone that came to their own front door was counter-productive. Besides, Mycroft was far too old for that nonsense. Instead they bought a pile of ghostly-themed goodies each and sat at home, reading or watching the fire, or perhaps solving yet another mystery ("Mycroft! Where is my toffee apple! No, that one does not belong to you, you already ate yours! There are tiny pieces of toffee on your cuffs and down the front of your jumper! And I can see two wrappers in your pocket! Besides, there's far too much toffee on your fingers for just one apple! MYCROFT!")