For the areas that I want to remove, I use my jig saw. It can't be beat.
Unlike cutting wood, you don't even need to drill a pilot hole. Just jab the saw into the pumpkin flesh. It will go right in, then you can start carving right wherever you want.
Carving pumpkins with a jig saw is a lot like driving on ice. A little power goes a long, long way and once you start moving, you can't stop cutting very easily. For this reason I suggest the following.
1. I hold the saw at the front and on the handle. My left hand keeps it from moving too far forward and cutting too much material. My back or top hand pulses the power trigger slowly.
2. I am not afraid to pull the saw out of the pumpkin. Sometimes, if you don't, you would keep on cutting.
3. Because it is so easy to start the jig saw in the pumpkin, I like to carve by making a number of different cuts. In wood, you like to cut one big, continuous curve. In pumpkins, you don't need a pilot hole to get started so you can stop and start at will.
4. At the beginning of each season, I like to practice on a test pumpkin. If this is your first try, why not buy a simple little pumpkin to test out your technique.