I tend to do very intricate designs and last year I bent, snapped, or otherwise destroyed two and a half sets of the commercial ones so I built my own this year.
Items: Assorted jigsaw and coping/scroll saw blades. Water line tubing, the firm kind that's like miniature PVC pipe. It will feel flexible in a long piece but once you cut it down it will be stiff. 1/4" ID x 3/8" OD. White epoxy putty (can be any color). 5 minute liquid epoxy. 3/8" ID vinyl tubing to use as blade guards.
I cut the tubing into 4" lengths. This is about the size of a small pen. On one end, use one of the jigsaws that fits inside the tubing to rough up and scratch the inside of the tubing. If you leave it smooth, the epoxy will simply slide right out.
The saws need to be used "upside-down". That is, if you're looking at the saw, you want the teeth to be pointing away from the handle. Some jigsaw blades don't have an angle on the teeth. Don't use these. I bought a variety pack of Skil which had about six different sizes. You only really use the big ones for cutting off the lid so you may want to buy one pack of big ones and several packs of the smaller ones.
Make sure you wear safety goggles! I used a vise and large pliers to snap off the unsharpened part of the blades. You may want to leave a little bit of it on for when you sharpen the saw tips. Snap the coping saw blades in half by bending with pliers or use wire cutters.
Making sure you have the teeth angled the right way, knead up a bit of epoxy. You will have enough time to do about 5-8 saws depending on how fast you work. Stuff some of the epoxy into the end of the tube. Then push the saw blade in. Use a toothpick or paper clip to squeeze the epoxy around the blade so it holds it pointing straight out. It doesn't have to be perfect. Make sure you push the epoxy in a little so that it's not level with the end of the pipe. You will want enough room to put a little bit of the liquid epoxy in. It doesn't have to be a lot, only about 1/8" or so. If you can't push it in, scoop some out. Once the epoxy putty is hardened the blade will probably still not be anchored firmly. Mix up some of the 5 minute epoxy (you can use 2 hour epoxy if you aren't going to be using them immediately, it will give you more work time). Using a toothpick, dribble it in around the sawblade and fill up the rest of the pipe. This will conform to the shape of the saw and the inner pipe wall better than the putty can. Give the epoxy enough time to harden all the way - 5 min epoxy still needs about 30 min before it's not soft and bendable.
If you don't have a table grinder, find a friend who does. Grind the tips of the saws into points. I've found this is the main important thing to do - if you have store-bought ones you should try doing this as well. I don't pre-poke the patterns, I draw them on with orange sharpie (wipe off with alcohol) when I carve. Stabbing the finer saws into the pumpkin will make them bend. Sharpening the tips prevents this. You can either make it pointed on one edge like a hobby knife or make it pointed in the center of the blade. This will make your blades unsafe for children! I didn't take mine to extreme sharpness but you can if you want to. While you're at it, you may also want to narrow the blades of the smaller jigsaws by grinding down the entire back of it.
Push the vinyl tubing over the saw and handle just a little ways. It will usually stay tight after only 1/2" or less. Cut it a little long over the blade so there's no way you can accidentally stab yourself with them.
The carving tool sets that are available, but I also use some artist's tools that I already own - wood carving knives and chisels, sculpting carvers and linoleum block cutters... they work quite well on pumpkins.
Use a pair of large kitchen scissors to snip out the pulp. Gutting a pumpkin goes very quickly this way. I use that, a large kitchen knife to cut the hole in the top, and this year I got the battery operated saw kit which I'll try. I always use the kits with designs to trace too, so cutting can be intricate at times. I'm only doing one jack this year. You need a bit of time set aside to do carvings and time is something I'm short on this year!