Trick or Treat has been imported from the States - as Rowan says in her first answer it means "if you don't give us a treat, we'll play a trick on you" - nothing more than that. tricks now seem to mean putting flour through your letter box etc.
We too put up the notices saying "clear off, we're not playing" - you can download them from most of the local police websites these days, I stuck mine up this morning.