I used to throw mine away in the garbage, but a year or two ago I realized that was stupid. So now I throw them near the back of my property and let them decay back there. We live on a double lot, and the back part of it is somewhat woodsy.
I haven't done that yet, though. Ours are still holding their shape, so I will wait until they go moldy or collapse.
I thought about doing a compost pile too Murf, but my yard is too small and the flies were bad enough as it was with the pumpkins just sitting there on the porch. I'm big into recycling so it's good that the city collects yard waste for their own compost pile at the dump.