A friend of mine has thrown some pretty good ones. It makes a big difference if everybody makes some sort of effort to get into the theme, and usually her group of friends do, especially inspired by the hostess who was, for example, the Goddess Kali for Halloween once. Another friend I went a uni with filled a bath with blue food dye and threatened to dunk anyone who didn't come in costume into it. I don't think he ever actually followed through on that because everybody came in costume.
I think the best costumed events I've been to were medieaval renactment group get togethers. Some lazy folk like me bought or rented their costumes but others painstakingly sewed their own historically accurate ones. I think it's more fun if the group's not too hardcore about accuracy, no stringing anyone up for having a zipper or whatever.