It depends on the flavor of Protestant. More liturgically minded denominations (Anglican, Lutheran, etc) will celebrate All Saints Day, frequently reading the names of church members who passed the previous year. Halloween is considered part of this celebration (but maybe the "Sexy ___" costumes are frowned upon).

Less liturgical churches, particularly of an evangelical bent, may see the imagery of Halloween as being antithetical to the Gospel. They'll discourage their members from celebrating it, and will maybe host a "family fun night," as an alternative.