Why yes, they do. In fact, the whole Halloween thing seems to have be the results of combining the ancient Roman Feralia, commemorating the passing of the dead, with the Celtic Samhain. It seems to have passed from Europe to the US with Irish immigrants. For a detailed examination of Halloween from the Irish perspective, see: All Hallows' E'en and Halloween - How Samhain took on a New Meaning
Halloween didn't take its present form until All Saints Day was declared by Pope Gregory IV to replace the pagan festival. The night before became All Hallows Eve and people went door to door begging for food (or soul cakes) to feed the poor. Of course, things were tweaked a bit during the time between then and now, so for more, see the excellent Trick or Treat! The History of Halloween in the links below.
Although Halloween isn't celebrated as lavishly as it is in the US, Halloween is making an upsurge in Italy, and is celebrated there and in the UK, Ireland, and France. See our links below for more on Halloween in Europe.