For costumes that need to look roughed up, bruises and fake blood are virtually always helpful. Create realistic bruises using matte eyeshadow from a drugstore, makeup store or effects makeup supplier. The most effective colors tend to be black, dark blue, dark green, yellow and dark pink. Experiment with these colors in different amounts until you arrive at your desired effect.
For some character costumes, such as aliens, part man/part animals or characters with exaggerated features, face putty is the makeup artist's best friend. An easy and effective recipe for face putty is one part microcrystalline wax and one part petroleum jelly. Melt the two together over medium heat, stirring in colored powder to tint it. Once at a smooth consistency, let cool. You can now reshape the putty to fit onto a subject and exaggerate facial features.
Some costumes require more complex transformations, such as bald caps, some extreme false noses and giving a young actor an elderly appearance. These effects are often achieved with a painted gelatin prosthetic to match the actor's skin tone.
Create a mold for your gelatin special-effect piece by taking an alginate mold of the needed area of your subject. Once the alginate mold is set, create a positive mold of the subject by filling the mold with plaster, then letting this set. Once the plaster mold is dry, affix clay to the mold and sculpt the desired effect. Create the gelatin prosthetic from this final plaster mold.
When it is necessary to make the action more real, fake blood is great enhancement for any of the above techniques. Fake blood is relatively easy to mix up as well -- the only ingredients are light corn syrup, food coloring and diaper rash powder. Pour the desired amount of corn syrup into a mixing bowl and slowly add drops of red food coloring. Stop when your blood is as dark as you prefer, then slowly mix in a few pinches of diaper rash powder (to make it more opaque).