If you have a pumpkin farmer nearby, even better. Their selling season is over. If you act fast, they're often happy to let you glean for free. If you wait, the pumpkins will likely get tilled into the ground.
If the pumpkins are not cut, you can store them for a couple months if you like- dry (NOT sitting on cement!!), cool (under 75 F), and dark is best. Most often my whole pumpkins stay firm and fresh until about January or February- this is at about 65 degrees F, stored off the floor and on a layer of cardboard or newspapers to absorb moisture- but I've had a Hubbard that stored until the next July, and a spaghetti squash from a year ago!
But let's say you have a pumpkin that you'd like to cook with.
Fresh has so much more flavor than the stuff in a can from the store.
Smaller pumpkins tend to be sweeter, bigger ones more watery. But you can always drain off extra liquid if you need to. Below is a slide show on how to make your own fresh puree. You can see here for another, more detailed post on making the puree, or see previous posts on finding,choosing, buying,storing, or dehydrating them.
Click on the "Pumpkin" category on the right for recipes.