In large stockpot or Dutch oven, heat oil over medium-high heat. Add onions, carrots, celery and garlic; salt and pepper to taste. Sauté until onions are softened (about 3-5 minutes).
Add in broth and squash; bring to a boil. Reduce heat and simmer 30 minutes or until squash is tender. Stir in chopped sage last 5 minutes of cooking. Remove from heat.
Using a food processor or blender, purée soup in batches; return to pot. Stir in half & half and cayenne pepper; continue simmering 5 minutes.
Serve soup garnished with pretzels.