Do you check your kids Halloween candy?  

as long as there packaged correctly . i throw away anything that looks suspicious or not wrapped right

My father and mother would always check my candy. My dad would always take a few peanut butter cups as his fee. They did throw a few things away. Anything people would make thenselves unless it was a neighbor we knew very well. Anything baggied by people. Like ontime I had gotten candy corns in little zip lock bags. Anything that the wrappers are open.

People really do not give out this kind of stuff anymore..
A good word of advice is if you are unsure throw it out.

As non-american and therefore non-Halloween-celebrating - what are you looking for? Is it for sweets that might be prepared with something and be dangerous for the kids? Is that common??

We have a similar thing here at easter when we go around giving easter cards and getting sweets (well, kids do anyway, I did it when I was small) - but I don't think anyone ever checks the sweets for something...