I think that going as a member of an ethnic group (or ethnoreligious group in this case) is kind of odd. This
Gawker article addresses the dos and don'ts of racial, ethnic and national costuming for Halloween, but gives no guidance on Jewish costumes.
These costumes can only work if you are engaged in stereotyping on some level. You really couldn't really dress up as a Jew for Halloween, because what in the hell looks like a Jew? So you use some other indicator, like a kippah.
On the other hand, I suppose that there are rabbi costumes available. While probably more offensive to observant Jews, I would consider it less offensive by secular standards. Equivalent to a priest or nun costume.