I want to make antlers for a costume, what materials should I use?
I don't know how "handy" you are but I would suggest Papier-mâché over a simple wire armature. It would be lightweight, fast and inexpensive to make, require minimal tools and be very forgiving of mistakes. For a bit more durability and added texture, add a final layer of simple cheesecloth after the form has been built up. Then paint or stain for the desired effect. Any paints would do – inexpensive watercolors, etc. 

As for the form and how to wear them – depends on how large you want the antlers to be (e.g. moose antlers can be huge. Deer antlers smaller, etc.). Perhaps sacrifice a "baseball" type hat to build off of and add a "chin strap" to keep it from slipping off of you head.