[edit] Steps

Some costumes can be quite simple

Think about your interests. If you love acting, be a movie star. Or if you love sports, you could take it one step further and dress up as Derek Jeter or Tom Brady.
Consider your style and preferences. You could always pick something simple such as a fairy-princess (think glam accessories, glitter, makeup and pink) or an animal of any sort (think a certain dominant color and a few accessories).
Rethink the old standard costumes. Simply dressing up as a classic sort of thing (witch, cheerleader, etc.) can get boring after a while, so instead, put a spin on classic costumes! You could "Halloween-ize" them by making it a goth cheerleader or a goth witch, or even have a preppy witch!
Look in the closets, the attic, or other places old clothes are stored. You may find a wealth of ideas from clothing that hasn't been out in years.
Browse magazines or store shelves for ideas, then take all or part of what you have seen, and build on these ideas.
Find out what friends are dressing as. If a friend is going to be a pirate, you may work together, and form a whole band of buccaneers to rove your streets.
Think in context of what your plans are. An adult going to a singles event won't dress as would one going to a company party.
Keep your choices within reason for any group you may be with on Halloween night. Religious groups often do not appreciate representations which challenge their beliefs, like vampires, witches, or demons.
Try to keep you outfit toned down, both in erotic nature, and frightening qualities, especially if children are expected.

[edit] Tips

Be creative! You can never go wrong with a creative costume that you have designed yourself.
If your still stuck, find someone on Wiki-How that enjoys making costumes to help you.