An Invisible Man costume is a fairly easy costume to improvise out of items that you already have and things which can be bought cheaply. However, it may not be very comfortable, especially if it is quite warm at Halloween where you live.
In H.G. Wells' novel and the 1933 movie adaptation, the Invisible Man first appears wearing a long coat, a hat, gloves, dark glasses, a fake nose (described as being bright pink in the novel) with his face entirely covered by bandages. In the novel, he is also wearing a wig and a false beard which pokes out from underneath the bandages.
To maintain the illusion that you are invisible you should try to make sure that your skin is entirely covered.
Of course, if you are invited to a Halloween party that you do not want to go to, you can stay away and later tell the host or hostess thay you were there but nobody saw you because you went as the Invisible Man (or Invisible Woman).