I just found a great Halloween allergy website thanks to Nut Free Living. Stop by Allergy Free Halloween for a list of candy that are the most free of allergens, to download a sign for your door and to help spread the word.
No matter what, I believe that you must, must, must always check the candy labels. If it doesn't have a label and I am not sure about it, my son is not going to eat it. Still, I think this is helpful information for anyone with a peanut allergy (or another food allergy).