I like to marinate them in Italian dressing for 3-4 days. This seems to help tenderize the meat. I don't leave them whole. I go ahead and cut the front and back legs off because it is easier to cook this way. I put the pieces in a hot skillet ( you want it on high heat ) to brown the outside really good. The Italian dressing helps here also you don't have to put anything else in the pan except I like to put coarse fresh ground black pepper and kosher salt on mine. After browning, I wrap the pieces up in foil with some olive oil and cook them in the oven on 375 for about 20 minutes. Then they are ready to eat.

I used to grill them but like others have said they seem to be really tough. Now I use the method above and we love them. Even my wife and little boy like it.

My favorite way to eat squirrel is to make dumplings. Throw them in a crockpot with some chicken broth. Cook till they fall off the bone - remove the squirrel and debone, put the meat back in - add some more chicken broth. When the broth is hot - add either frozen dumplings or whop biscuits cut into quarters. Salt and pepper to taste.

My grandma made homemade noodles which beat the crap out of my dumplings and she'd make cook 8-quarts at one time.