Here's a site that explains what it is (and how to do it, wth?!):
http://mbweb.0catch.com/halloween.html

Call me naive, but it never occurred to me as a kid to watch out for this. It happened to me once though, and to Bee twice! We were both trick-or-treating with a group of friends, and there were no adults around. You usually know who the bag snatchers are, but there isn't much you can do about it. That was definitely the case for both of us. Haha, I can remember the feeling of injustice over losing all that hard-"earned" candy!

Did you ever get bag snatched as a kid?