What to wear: If you don't have the time or money to spend on fancy prosthetics, throw on a light-blue swimming cap to cover you hair, and then paint the rest of your face and hands light blue (make sure it's dark blue or black around your eyes, though). Blue-colored contacts would be a plus! To re-create those icy growths on his skull, wear a crown painted the same light blue as your face. As far as his outfit, get something as close to chainmail as you can (if all else fails, just spray-paint small, silver squares onto a black shirt).
How to act: The Night's King is a man of few words, so don't worry about having to be chatty this Halloween. Instead, walk around whichever party you're attending with your arms extended wide in a "Come at me, bro" position, and glare menacingly.