I would definitely stay away from really BEING the main characters... with this being a Wizard of Oz party, you will see mostly main characters.
I actually had the same idea about "being" the yellow brick road. Each person being a brick, just by wearing all gold, but realize how hard it might be to find gold outfits for everyone.
You could do a variation of the main characters, like Sue H. said. Instead of really trying to replicate the actual costumes of those characters, just shoot for the essence of each character... like for Dorothy, you could just wear jeans and a blue shirt, wear your hair in braids with blue bows, and slather some shoes with red gitter. For the lion, wear jeans and a tan shirt, and craft a lion's tail and mane out of felt or yarn. For the scarecrow, wear jeans and a plaid shirt, or overalls, and attach some raffia coming out the sleeves and pant legs. For the tin man, wear jeans and a gray shirt, with a funnel on your head. For the wicked witch, you could do jeans and a black shirt, a broom, witches hat, and roll up the jeans to reveal striped stockings. For Glinda, the good witch, jeans, a pink shirt, a large crown like head piece (see movie for details), and a fairy wand. You could basically do any character in the movie this way, the munchkins, the wizard, the flying monkeys, etc.
I actually think it would be really adorable to do it this way, not actually replicating the characters costumes exactly, but trying to capture their essences, just with jeans and a few *key* aspects of each character. And as Sue said, if you can't find these things at home, you can most probably find them at a resale shop, and the craft items can be found inexpensively pretty much anywhere.
I also like the idea of doing the Kansas characters, Auntie Em, Uncle Henry, Dorothy, and maybe Toto, if you need 4 costumes. Auntie Em, a house dress and a gray sprayed bun. Uncle Henry, just jeans, a button up shirt, and suspenders. Dorothy, dress, braids, blue bows. Toto, dog ears, tail.
OR, all be tornados!!!! That would be adorable! Get everyone a white t-shirt, draw black circles around the shirt to give the impression of circular wind, and attach things to the shirts! Like little toy houses, animals, bicycles, trees, etc... So funny!
Good luck, and have fun! Let us know what you decide on!