I love pumpkin: pumpkin soup, pumpkin pie, pumpkin in risotto, even pumpkin bread!
It's a lot like butternut squash, so if you have any recipes you like, just substitute it.
You can bake it by cutting it in half, scooping out the seeds, put some butter and salt and pepper in the middle (or cinnamon and brown sugar) and baking until tender. Scoop the flesh out and either eat it as is, or use it in recipes (like soup or pie).
Also, don't throw out the seeds! Spread them out on a baking sheet, drizzle with olive oil and salt, then bake until they are crispy (can't remember how long!). They're such a yummy snack- they never last long in our house.
You can stuff them (for an entire dinner party) with chilli or veggie chilli. Bake empty with a little water and butter in first and bake with chilli cooked separately first.
(For best effect and a very gruesome Halloween dinner party, carve a face as if you're making a lantern, without cutting right through to the seed cavity or your stuffing will all fall out. Stuffed with veggie chilli this makes the veggie/vegan favourite severedhead - invented to stop people assuming that veggies are just soft ) You could just cut nice patterns in the pumpkin if you are soft though