Field pumpkins, the big ones they sell for carving really do not taste very good. I've tried cooking them in the past and they just do not have any flavor. If you use a candle in it on halloween night all the flesh will taste nasty and smoky anyway, you won't want to eat it. The stringy stuff you scoop out of the middle isn't that edible either. You can save the seeds, there are a lot of websites that tell you how to do it.
Pie pumpkins are smaller, and not that expensive, IMO. To cook it all you have to do is break it up into chunks and bake it or boil it until tender. Then scoop out the flesh and let it cook a few hours on low heat until it is a thick paste. Then you can use it like canned pumpkin. When I have done it I have let it sit on the stove while I do other chores around the house, just checking on it once in a while. You don't have to stand over it.
IMO, canned pumpkin is just as cheap, or cheaper and a whole lot less work. If you want to do something with the leftover jack-o-lantern, compost it for your flowerbed or garden.