Step 1: Making the Basic Pumpkin
Begin by Opening Blender 3D and deleting the default cube that is currently selected (X or Delete). Then create a ball (UV Sphere).
Step 2: Selecting the Ridges
Switch to Edit Mode (Tab), and from the Top Ortho view (press 7) select every other row using Alt-Right Click.
Step 3: Extruding the Ridges
Next extrude the selected pumpkin ridges out slightly by pressing E, deselecting, and scaling (S).
Step 4: Adding Subdivision Surface
To smooth out the Pumpkin, add a sub surface modifier. On the Right hand properties panel, select modifiers (the wrench icon). Then click add modifier, Subdivision Surface.
Step 5: Squishing the Pumpkin
Next, in order to make the pumpkin more realistic, squish the pumpkin from above using scale along the Y Axis (S and Y).
Step 6: Creating the Stem
Next select the roof of the sphere/pumpkin and scale (S) inwards.
Step 7: Extruding the Stem
Then extrude (E) the roof of the pumpkin up and out of the pumpkin to create a stem.
Step 8: The Eyes
To create the eye sockets, select (Edit Mode, Tab) where you want to extrude the eyes from and delete the face (X or Delete, Face).
Step 9: Adding the Mouth Hole
To create the mouth, select as with the eyes your faces (again in Edit Mode) for the mouth. Then delete the faces (X or Delete, Faces).
Step 10: Adding the Stem Color
To add color to the stem begin by selecting all the segments of the stem that you want colored. Then in the Materials Tab of the Properties press the New Material button. Then under Diffuse and Color set the color by clicking on the default gray color. For mine I used a Voronoi Texture (you can see and copy that below), but a green color works just as well.
By the way, the color will not show up on your Jack o' Lantern until you render it.
To color the Pumpkin itself you can do it the same way as the stem (select each piece at a time), but it's easier to select the stem and select Inverse (CTRL-I). Then you hit the plus button on the Right side of the Materials tab and add another material for the Pumpkin itself. I used a glossy/diffuse color for mine (you can see and copy that below), but again it's not that much different from a straight orange.
Again, the color will not show up on your Jack o' Lantern until you render it.
Step 12: 3D Jack O' Lantern
The final step is to render your Jack O' Lantern (F12).
This is my final result after some tweaking and post processing.