For pumpkins displayed outdoors, the best and cheapest illumination method is still a plain old candle. Try to avoid using tea lights, they have a small flame and burn out quickly. Instead, pick up a few large votive candles from a dollar store (or from your mom's house, she's probably got dozens). These will last for hours and produce a large flame.
If you have a convenient lamp post, you can remove the lamp cover and place a pumpkin on top instead - you'll have to cut a hole in the bottom of the pumpkin to do this.
You may also use LED lights to light up your pumpkin. This is recommended for pumpkins displayed indoors, and required for those artificial pumpkins. You can make your own, or get a store-bought LED.
You can even go fancy and try one of these ideas:Dark-detecting pumpkin lightsTirefly HackCylon-o-lanternSolar powered