I follow the same rule as SilverSage.
For pumpkin or squashes, baked is the way to go, except when I get raw shelled pumpkin seeds at the supermarket since they're already dried out.
I'll usually split a squash in half and bake it in the oven without scooping out the insides unless I'm going to be eating it too. It makes it super easy to prepare a bunch of food without much work.