I've used both canned and fresh pumpkins. I always prefer doing things from scratch as I know exactly what's in there as I made it. The fresh pumpkin is obviously a more labor intensive but I would say works even better, depending on the variety of pumpkin that you use. Follow the steps that Nyleve provided. As an experiment one year I used a Halloween pumpkin and found it to be highly edible - as long as it is oven baked and not boiled.
Depends on how much effort you want to put into it. I've always made puree from fresh pumpkins. I like the idea of it; I like the colour of the finished product; I like the flavour. It's also very cheap. I buy a couple of "pie pumpkins" (also known as sugar pumpkins - just small ones, smaller than a soccerball), halve them vertically, scrape out the seeds (save for toasting) and bake, cut-side-down, on large baking sheets until softish. Then turn over and bake cut-side-up until slightly dried out and very soft. Scoop out all the pulp and blend until smooth in a processor or a food mill. THEN - and this is the key part for me - I let the puree drain through a coffee filter (or filter-lined strainer) until thick. It's important for most recipes to use a thick puree. I save the liquid and add to soup, so it's not wasted. Usually I end up with enough puree to make a few pies and whatever is left I freeze in recipe-sized portions.
This isn't exactly labour intensive, but it does take a certain amount of time. Small pumpkins are usually cheap and I can generally get two pies from an average pumpkin. I really don't think there's anything very wrong with canned puree, but I've never used it because I like the whole concept of starting with an actual pumpkin.