My girls and I *love* winter squash! One of our favorites, and about the easiest thing you can do with one, is this: I cut an acorn or similar squash in half and scoop the seeds (I save them to roast later). I sprinkle it with salt and pepper, and heavily with freshly ground nutmeg. Then I put a pat of butter in the cavity, pour in a little maple syrup, and stick it in the toaster oven to roast. If I think of it, I'll take it out and baste the cut edge with the syrup/butter, but if I don't get around to that it's still awesome. Sometimes I'll cover them instead of roasting them exposed. The effect is slightly different, and also yummy.
I also chop winter squash and toss it with other root vegetables for roasting; I'll season them all sorts of different ways, with butter or olive oil or even fancier oils sometimes.
I've cut slices (you need a *really* sharp, heavy knife for this) and roasted them on my grill. I basted them with butter, and seasoned them similarly to the roasted squash above.