I've never had an embarrassing Halloween costume, simply cuz from the word go, my parents let me choose mine every year. XD I was a cat most of the time, and sometimes I was a wolf.
As for trios, I like the idea of Dorothy, Glinda and the Wizard of Oz. Sounds fun. xD As a Pegasister, I'd suggest going as the Cutiemark Crusaders but I guess that Aaron would veto that!