My sister goes every year for Halloween (or around that time) to Salem and other areas in New England. You should be prepared to pay though the nose for a hotel room as it's a pretty popular destination that time of year and hotel owners raise their rates accordingly.
She always is talking about how she has to decide if she wants to go by November of the previous year (ie: if she wanted to go this year, she had to make her reservations by November 2006) because stuff books up so fast - but I think she stays at a famous hotel or B&B somewhere so that may be why it fills up fast.