Yup. Have a go, it's fun! I do one every year, although it's not always a pumpkin. Turnips are more traditional in the UK I suppose, but we've picked up the American thing of using pumpkins. One year I left it too late and the shops were sold out of pumpkins and turnips, so I got a parsnip, a suede and a butternut squash and made a ghastly trio.
(Props to this guy, who I've only just seen did it first and better.)