I have never run a marathon in fancy dress but I have dressed up for races. Normally christmas ones where I dress in something very sparkly.
If you want to do it then wear lycra - look at dance costumes. They will be flexible allowing you to move yet provide all the qualities that you would expect from running kit.
Don't wear anything that will chaff or be too hot or too cold or too heavy. Even a water bottle can become heavy over 26 miles.
The superman / super women costumes work well, though I would find something that fitted your bodyshape and personality.