I like to toss them in a marinade of beer, garlic, salt & pepper, a little splash of apple cider vinegar, and something spicy (peppers / hot sauce / cayenne / ect...).
After they have soaked for a while I dust them with flour and pan-fry them in a combo of butter, bacon grease, and olive oil until they start to pick up some color, then pull them out, add some more flour, and make a roux in the pan.
When the roux starts to smell nutty and pick up a little color I toss in a bunch of onions and a little celery, carrot, and green pepper, all finely chopped except for some of the onions that I leave in rings, add some salt and pepper, and cook the mixture until the veggies start sweating and the roux hits the darker side of golden brown.
Then I pour in one or two bottles of fairly dark beer depending on how much squirrel is going to be cooked (anchor steam works great for this), stir it well, and put the squirrel pieces back in.
Toss in some potatos and whatever other veggies you have laying around (big chunks of carrots are great for this too), cover the pan, and toss it into a 250 degree oven for a long long time (minimum 5 hours, but 8+ is better).
When you dive into a big plate of this stuff you will not understand why so few people eat squirrel. It's damn tasty, and this method is one of the tastiest.