In early October, Pueblo has its annual historic ghost walk. Tour guides take you on a trip around the town, visiting haunted and historic sites enhanced by people in period costume.
There are a few corn mazes in Pueblo as well - some scary, some suitable for young kids. If you're looking for other kid-friendly activities Pueblo Christian Center, St. Mary's Church, and the United Methodist Church all have harvest festivals with games, food, and music. These are all strictly "non-scary" activities, but kids in costume do get prizes.
As far as haunted houses, the Train of Terror is one of Pueblo's most well known Halloween activities. The students from Centennial High School partner with the Union Depot to fill the old train yard full of spooky ghosts and ghouls. CSU-P also creates a haunted house every year that winds through their Life Sciences building. This one is a lot of fun if you've got older kids who want something a little scary (but not TOO scary. :D)