The first Jack O'Lanterns were carved from Turnips (or arguably rutabagas)
According to legend, Jack was a wicked man, who managed to cheat the devil himself, and as a result, Satan agreed that he would never take Jack's soul to hell.
However, being such a wicked man, when he died, Jack found himself unable to gain entry to heaven. He pleaded with the devil to take him, but he reminded Jack that per their agreement, he could not take him to hell, and so with nowhere else to go, Jack would be doomed to wander the earth for all eternity.
Jack asked the devil to at least give him a lantern to light his way, and the devil tossed Jack a burning coal, which jack stuck inside of the turnip he had been eating when he died to use as a makeshift lantern.
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When my wife and I first moved in together, we had a small apartment without much room on our patio for Jack O'Lanterns. Undeterred, I went back to the original concept and started carving turnips, which fit much better on the outside of our windowsill.
To hollow them out I use a forstner bit that's a little bigger than the LED tea lights I stick in them.
I think they have a lot more character and are a lot creepier than pumpkins.
The simple green is because I was cleaning some stuff outside earlier in the day and forgot to bring it in
The picture the other commenter linked does show a forstner bit.
A lot of them do have teeth around the edge sort of like a hole saw, but not all of them
The main thing is that they scrape away material from the center of the hole, while a hole saw just cuts around the circumference. If I used a hole saw I'd have been left with a cylinder of turnip still stuck to the top unless I cut all the way through, a forstner bit removes all of the material