Erich Larson's The Devil in the White City is a phenomenal book if you feel like hipping yourself to the decade. But you don't need to dig that deep.
For a visual of the time period, think of the wild west and movies like The Assassination of Jesse James by the Coward Robert Ford or Far & Away; check out creepy movies like The Prestige, The Village, and Dracula; look for high society in The Road to Wellville and The Age of Innocence; and enjoy everyone's favorite musicals: Moulin Rouge! and Newsies!
The 1890's saw the rush west for gold, and a huge push for social change. In Boston, we built the Jamaicaway and established the first American subway system, and Isabella Stewart Gardner opened her museum on the recently filled in Back Bay.
If you're looking to come in character, Guys: there were writers like Oscar Wilde, Walt Whitman and Mark Twain; philanthropists like Andrew Carnegie and John D. Rockefeller; inventors like Thomas Edison, Nicola Tesla and Henry Ford; and innovators like Frederick Law Olmsted and Frank Lloyd Wright.
Ladies: Little Egypt brought belly dancing to the World's Fair, Isadora Duncan invented modern dance, Harriet Beecher Stowe wrote Uncle Tom's Cabin, Amelia Bloomer and Susan B. Anothony were fighting for suffrage, Cassie Chadwick was the most notorious con artist of her day, and Lizzie Borden stood trial for the ax-murder of her parents.
Annie Oakley shot a cigarette out of Kaiser Wilhem's fingertips during her time with Buffalo Bill Cody's Wild West Show, Calamity Jane fought as a scout in Custer's army, H.H. Holmes became America's first serial killer, and Pabst won its blue ribbon at the World's Fair.
The other thing about the world's fair is that it featured people from every corner of the globe, and the 1890's were all about exploiting exoticism. Feel free to milk your own cultural heritage for costume ideas!
Costumes are not required, but you are invited to dress in your very best, and if you'd like to add some touches, here are ideas:
Masks would be AWESOME
Guys: monocles, canes, tophats, bowlers, waistcoats, tuxedos, y'know, whatever you have lying around.
Ladies: skirts were long; bell-like, a-line or trumpet shaped. They wore corsets with an S-bend, bodices were tight, sleeves were puffed with fitted wrists. They got into wearing tailored jackets, and they wore tea dresses during the day, but at night things could get racy with revealed shoulders, cleavage, bare backs. Go crazy! Elbow-length gloves, cute little lace-up boots, Victorian jewelry and ridiculous little bags are all nice touches.