They do supply some small bags. However, you might want to bring your own should you collect quite a bit of candy.
Went Friday night, solo, having decided to go only 48 hours earlier. I totally agree fireworks and parades are the biggest deal of the night. The Hocus Pocus show was a good draw too. I had an absolute blast seeing all the costumes, riding some rides, checking out rare characters, and the crowd was low enough that I scored awesome spots for HalloWishes and the second parade. Also, we were allowed in at 3:45, so show up early and keep to the right at the entrance gate if you have bands/cards – they will keep opening more turnstyles!