Not sure how adventurous you are (or your trick-or-treaters), but if you go to Golden Key chocolates on the main strip of Brighton Beach, you can find some really interesting brightly-wrapped Russian-type chocolates with great names. They're slightly pricier than the stuff you get at K-mart, but much more "original," and really fun to figure out. Try one of each that you want to give out, though-- sometimes one or two ingredients (like nuts) might be "off." (Their quality-assurance isn't always there, so you'll have to decide if you want to be responsible for the occasional nutshell.) I'm partial to their chocolate-covered apricots.
Also, any supermarket that sells wrapped bulk candy (or try Economy Candy)sells things like DumDum pops, Mary Janes, Brachs, and fare other than the Milky Ways we'll be handing out. Bulk candy can be $1.99/lb or less, a much better deal sometimes than the bagged stuff.
Good luck--I'm trying to get our 3-year-old to try on his shark costume.