Witch
This is pretty easy for most women because we all should have a black dress in our closet, right? I paired mine with a vintage cape (I mostly wanted an excuse to wear it), tights, black boots and a witch hat that I got for only $3 at Target. Total cost of the this costume: $3
I own about 7 plaid shirts so this costume was a no brainer for me. If you don't have one, they are relatively cheap at the thrift store. I also added my brown lace up boots, black beanie and my buffalo plaid jacket. This is a perfect costume for Halloween in the Midwest because you are already wearing lots of layers!
Wear a pair of khaki pants or a plaid skirt. Pair it with a blazer, oxford shoes, glasses and a bun. Think Indiana Jones or a stuffy British professor :)
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Mad Men Character
You can pick whichever lady (or gent) suits your style or what you already own. Since a lot of modern style is taking its cues from the 50's and 60's right now, you might have something that would work even if you don't own any vintage clothing. I would wear a 50's dress with a full skirt and go as Betty, a pencil skirt and tie blouse could evoke Joan or anything plaid or conservative could be Peggy.
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Most importantly, have fun and get creative. My favorite costumes have always been the ones I've put together myself instead of buying. I would love to see what you come up with. Have a great Halloween!