I know you're looking for baked goods, but the Afghans among others use pumpkin as a vegetable and I've always really liked it that way. They put it into little turnovers for appetizers, too.

You could also make pumpkin lasagna, which is like an easier way to make pumpkin-filled ravioli. I know they did that on top chef a few times, layering big sheets of pasta with pumpkin puree and then probably some bechamel.

Soup is also awesome.