The idea of dressing up as the martyrs certainly provides lots of opportunities for blood and gore.
I always thought St. Lucy, with her eyes on a plate as she is depicted in some southern Italian churches, would be a real hit.
Especially St. Erasmus, who was disemboweled.
Bishop of Formiae, Campagna, Italy. Fled to Mount Lebanon in the persecutions of emperor Diocletian; was fed by a raven so he could stay in hiding.
Discovered, he was imprisoned; an angel rescued him. Recaptured, he was martyred. One of the Fourteen Holy Helpers. Namesake for the static electric discharge called Saint Elmo's Fire.
Died - disemboweled c.303 at Formiae, Italy