I've been thinking about doing that! Did you peel it, or just wash it and bake in the skin? Fresh pumpkin must be so much better!
No peeling. I washed it, cut it in half, scraped out the seeds and innards, and cut each piece in half again. Then I plopped them in a pan, skin side down, and baked. I've also cooked them in halves, cut side down, but this time I wanted it to dry out a bit. (I don't know if it made a difference, though.) When it's cooked it's really easy to scoop off the peel.
I don't know that it's that much better, honestly, but for me it was cheaper and easier than hunting down cans.