In my church (LDS) we do keep the Sabbath Day holy, so we will have a Harvest Festival with a chili feed on Saturday evening. It's a fun event and everyone decorates their trunks and the kids 'trunk-or-treat' so those that choose not to go out on Sunday (especially the little kids) still get to participate.

My daughter is a bit old for trick-or-treating, but we will still have candy for those that ring our doorbell.

As far as protesting goes...hey, if you choose to keep the Sabbath holy, you need to make some sacrifices. Halloween will occasionally be one of them. Get over it.