Jehovah's Witnesses object to celebrating Halloween because of it's pagan origin.
The official website for Jehovah's Witnesses refers to an encyclopedia that explains their reasons for not celebrating the holiday. The alleged reference source says that Halloween can be traced back to a Celtic religious ceremony before Jesus was born. The Celtics had celebrations for a Sun God and a God of the Dead. They were held on November 1 at the beginning of the Celtic new year. Apparently the festival of the dead gradually became a Christian ritual.