Here's a few ideas that you might want to incorporate in to your hen night. Remember not everyone will be comfortable dressing up so always have some ideas on how they can accessorise and still look & feel part of the group.
The theme doesn't have to include costumes - it might revolve around forfeits, daytime activities or style of dress.
Like forfeits, themes must reflect not only the desires of the bride but the sliding scale of exhibitionism in the group attendees. It's no use drawing up a 'strictly uniform' agenda (of Nurses, French maids and the like) if it is likely to make one or two of those going dread the experience and look for ways not to go. Part of the skill in bringing off a top class hen weekend is to look at all the characters going and tailor the theme accordingly. Compromise doesn't have to mean diluting the fun!
If the theme is to include costumes, you might want to keep cost down to a minimum and not don something impractical. Do you really have the bottle to wear very a bunny outfit on a November night in Edinburgh, for example? How funny will a long, flowing skirt be to you after 2 hours of being out? It might be good for kleptomaniacs in Safeways, but a "Gone With The Wind" theme is not going to be very popular in a packed club - providing you even get in, that is...
Some venues won't allow your group access if they feel the costumes are likely to 'inflame' an atmosphere. Translated, this just means certain randy bouncers won't let a group of Devil Wig & Horns in because you haven't flirted with them on the door, but either way it's important to check in advance (with your event organisers) to make sure the club you try at the end of the night is 'theme-friendly'.
There is an infinite number of possibilities. You might, for example, want to restrict the 'costumes' side of things to Wigs alone as many hen groups like to print a t-shirt with the weekend nickname of each person on the front/back. Many hen trips away will include two nights, so you may want a different theme for each part of the weekend, in which case you should write to or email each of the group in advance with an agreed itinerary and instructions on what the theme is for the respective Friday and Saturday evenings. All together now... Veils at the ready... one, two, three, GO!