In Canada, the few people who don't celebrate it generally leave as many lights off around the front of the house as they can to indicate "not here, please," and may just go out for the night. Otherwise, trick-or-treating can start early in the day for very little ones (the trend where I live right now is for parents to bring them to the shopping mall as a "safe" place, and stores give out candy during the day), and go very late for older children. Many people decorate the outside of their house at least a bit (and some a LOT), and there's always a few people who run their own "haunted house" out of their home. Adults may throw parties or go to various events - one year I worked as an actor at Project X, which was then a two-story paid haunted house run out of old army barracks. There was a top-floor ("less scary" stuff) matinee version for kids (with their parents), and the two-floor version that started at 5 or 6 was 13+ or something like that, and ran until 3 in the morning.
As for treating. The general idea is to cover as much ground as you can - every house for blocks and blocks, so kids will be ringing your bell continuously for hours. Generally, people don't "trick," (unless they're complete jerks), but when I was a kid, there was the occasional person who invited us to "trick" them in order to get candy - once a friend of mine and I completely wrapped a man up like a mummy in the rolls and rolls of toilet paper we had on hand.
I guess it is rude...? But I wouldn't usually think of it that way. I would really only consider people rude if they try to grab more than their fair share of candy, and it is also really rude to persist (knock more than once or twice, really) at a home where no one responds. (If you have a reason to think that someone is there giving out treats - decorations, lights on - then not leaving might be okay, as the person giving out candy and manning the door might have run off and will be back. If that's not the case though, you should assume people don't celebrate it and leave without fuss.) Otherwise, it's not considered rude for that one night. I guess everyone understands it as a tradition, so the usual rules of behaviour don't apply.