My Halloween costume was a mythological phoenix, the colorful red and gold bird that bursts into flames and is reborn from its own ashes. This costume consumed all of my free time in September and October, but the result made it all worth it. I painted a body suit with fabric paint; made the headpiece out of polyethylene foam; created the bird feet with foam, liquid latex, and paint; and painted my own face with body paint (the wings were purchased, they're a belly dance prop). Have I mentioned that I love Halloween?!
I've submitted a separate Instructable with some process photos and how-to for this costume. It's not a full step-by-step but should give enough ideas to get you started on a phoenix of your own! Happy costuming!