Luna's use of "we" (the royal plural) and her tradition of shouting to be heard provides both comedy and a look into her out-of-touch nature. Costumes:

The citizens of Ponyville struggle to see Luna as anything other than the "Mare in the Moon," showing how difficult it is to shake a bad reputation.

Pinkie Pie explains that "sometimes it's fun to be scared," helping Luna understand that the ponies' screaming isn't a rejection of her, but a way of enjoying the holiday spirit.