Wordorigins.org

In North America, the holiday of Halloween is chiefly celebrated by children who dress up in costume and go trick-or-treating, or begging for candy, door-to-door. The name comes from the children’s ritual greeting of trick or treat when the neighbor’s door is opened. The greeting is a bluff or threat that if candy is not forthcoming, some minor vandalism will be done to the property.

The term dates to at least 1927 when it is recorded in the Lethbridge Herald of Alberta on 4 November:

The youthful tormentors were at back door and front demanding edible plunder by the word “trick or treat” to which the inmates gladly responded and sent the robbers away rejoicing.

(Source: ADS-L)