I avoided them for years because I had no idea how to cook one. After some advice from cookbooks and some experimentation, I have found it to be quite good! It tastes mildly like summer squash. It is a good gluten-free or carb-free alternative to pasta.
The key is to poke holes in the squash rind before baking. Cut the ends off first, then slice lengthwise and scoop out the seeds. (Seeds can be toasted like pumpkin seeds) Put cut-side-down onto a baking sheet and poke holes with a fork. This allows the squash to cook through and gives a consistent texture.
Bake at 350 for 35-40 minutes - you can tell when it is done by gently
squeezing; it should squish a little. If not, let it cook for another 5
minutes. It is better to overcook than undercook - if not cooked enough the strands will not have the texture of pasta.
It can also be cooked on the grill, but still must be on a flat surface like a baking sheet to keep the moisture in so the insides can steam thoroughly.
The strands run side-to-side, so take a fork and scrape them out all the way down to the rind.
Drain the strands in a colander for a few minutes to get rid of excess water. Serve just like spaghetti!
My test group preferred it with meatballs and red sauce. The tomato brings out the sweetness of the squash. I also tried serving it with stir fry instead of rice; that was ok but not great. Since some asian recipes include winter squash, it seemed like the flavors would work; perhaps it was just that particular ginger stir-fry sauce.
Please comment with other suggestions!
The key is to poke holes in the squash rind before baking. Cut the ends off first, then slice lengthwise and scoop out the seeds. (Seeds can be toasted like pumpkin seeds) Put cut-side-down onto a baking sheet and poke holes with a fork. This allows the squash to cook through and gives a consistent texture. 
