If you opt for the pantyhose, you won't need a separate mask to obscure your face from any witnesses. However, if you decided to just go with a hat, then you will need something to cover your eyes, like a domino mask.
Think of yourself as something of a reverse-Santa Claus. In that case, you're going to need a bag of "presents" as well, except that the presents are going to be for you. Find or make a black sack that's large enough to sling over your shoulder.
Fill it with random stuff. If you're a particularly generous burglar, you could fill it with candy and give it to people at the party. Ready to steal everyone's hearts this Halloween? Well, sneak your way through the neighborhood and wear a burglar costume this year!