Most likely your exchange student has never celebrated Halloween before so this is a big deal for them. All of my students have been super excited for Halloween and Thanksgiving (we will get to that at a later date). Even if you do not do something for Halloween I recommend encouraging them to go out with friends to celebrate: helping pass out candy, a costume party, or a haunted house are great ways to experience the day.
We are big Halloween people, and by we I mean me. We decorate and watch scary movies. We go to parties if we can or haunted houses/hay rides. I love Halloween! I even dress up a little bit even I don’t have any where to go on the day itself. We made grave stones for the yard last year and put exchange student names on them with something they said all the time and their year they were here with us, I did not include the Italian students because I knew they would feel weird about it. But my other girls LOVED it. I think they liked being apart of our yearly decor (we do the same with Christmas, they get to pick something out for the yard).
Since the students are always excited for Halloween and some of them come from countries that do not celebrate at all, nevertheless at the American level, I always make a point to make it special. And I don’t mind because I LOVE Halloween!
So how to celebrate with your exchange student.
Have them help decorate, take them to one of the pop-up Halloween stores and have them help pick something out for the house. And they can decorate their room or buy costume stuff.
Watch classic scary/Halloween-y movies together.
Have a pumpkin carving party, pre-Halloween, invite people over and carve your pumpkins together. We do this every year with our local exchange student community. We also go to a pumpkin patch to pick pumpkins as a family activity; they even have pumpkin ice cream to get that pumpkin spice flavor America is so in love with (because it is usually still rather warm here for early/mid October).
Host a teen friendly costume party, if you are up for such an activity. Or let them have one just for their friends or go to one outside the house.
Go to a haunted house/hay-ride. We have a few really great set-ups near us, including the theme park Busch Gardens Williamsburg that goes all out for Hallow-Scream. Important to know their level of fear when it comes to these types of things. Our first student would get scared just talking about ghosts so we did not take her to one of these (we did dress up and go to a party though). If you do not want to go encourage an outing with friends.
Pass out candy or take them trick-or-treating with your younger kids.
Check out other local Halloween activities, such as: zombie walk, ghost tours, fall festivals (on the less scary side of things), costume contests, activities at your community center or church, and so forth.
Some past Halloween activites.