There is a widespread custom (especially among children for whom so doing is age-appropriate) to wear costumes on פורים [1]. A less-known, though significantly better-sourced, custom is to wear בגדי שבת ויו"ט [2], as befitting the dignity of a festive occasion. The רמא brings this custom in שו"ע [3] as the correct one. It is also brought להלכה in [4] ערוה"ש and מ"ב [5].
כף החיים, in addition to bringing this custom להלכה, specifies that festive clothing should be worn ליל פורים as well as יום פורים [6].
[1] There are those who claim that the practice of פורים costumes actually has idolatrous origins. See here and draw your own conclusions.
[2] מהריל הלכות פורים אות יב
[3] או"ח תרצה:ב
[4] שם סעיף ז
[5] שם ס"ק ג
[6] שם אות יג