1when they drop
They only appear while the world is in its Halloween season, and only off enemies that behave like real enemies. Something has to have more than a sliver of health, be capable of hurting you, and drop coins when it dies. That last condition rules out more than you would guess. Statue spawns give nothing, so the usual statue farm is dead weight here. The Old One's Army and the lunar events are excluded too, along with winged Slimers and Meteor Heads.
You are not stuck waiting for the calendar either. Riding a Pumpkin Moon out past its final wave flips the world into the season, which is far easier to schedule around than a date.
what is inside
Costumes, mostly, and they arrive in pieces, so finishing any single look takes a serious pile of bags. Rotten Eggs make up most of the remainder and paintings turn up occasionally. If you are opening these for money rather than for the wardrobe, the costume pieces are the item worth selling and the paintings are close to worthless.
farming them
This is a kill count problem with a thin roll on each kill, so the answer is anything that throws bodies at you quickly. A Goblin Army or a Slime Rain produces more enemies per minute than battle potions and water candles manage on their own, and the two approaches stack. The standout is the Eater of Worlds, where every segment counts as its own enemy, so one fight rolls the drop dozens of times over.
Bags open fine outside the season, so there is no reason to stop and open them mid-farm. Stack them up, finish the run, then work through the pile at your leisure.
the costumes are all references
Almost every set points at something outside the game. The Creeper is Minecraft, the Space Creature is the Alien films, the Karate Tortoise is a pun on the Ninja Turtles, and the Bride of Frankenstein is the 1935 film of the same name. The Leprechaun set references a local news report out of Alabama that became an early internet joke. Treasure Hunter is a nod at the Lara Croft and Nathan Drake school of adventuring.
The Jacking Skeletron painting drops Skeletron into a scene from The Nightmare Before Christmas. The title works twice over, once on the name Jack and once on the slang for stealing, which is the plot of the film.