Not always ...
Two bands come to mind.
Man or Astroman -- The whole band concept was that they were from outer space and they dressed accordingly. They were actually very good if you were into surf punk.
Captured by Robots -- The original bass player from the Blue Meanies built robots that he was able to control to play instruments (guitar, drums, bass, etc.) and the concept was that these robots from outerspace captured him and made him their slave. His costume was a bloody t-shirt with his entrails falling out. The theater of the show was pretty good, but robots didn't really play anything too interesting. It was mostly power chords.
So you can make it work, but you really have to go all out.
Don't forget the Aquabats. Talented guys with a great show and a great "mythos" for their band. They even battle monsters on-stage! That's entertainment!


I used a 'fro wig as Jimi Hendrix one Halloween. And I wore wool tights when I cycled in the winter. But this will be the first time I put it all together.