Head on over to Twig & Thistle to check out their instructions for a DIY pumpkin candle holder. Fabulous possibilities for both Halloween and Thanksgiving. They've got lots more photos too.
I'd like to make a black glitter one for Halloween--make sure you paint the pumpkin black before you black glitter it, if you decide to go this route. And with a black or purple candle inside, ooooh, love. Oh, Oh! Or you could do a purple under painting with black glitter—that could be quite nice!