Another thing about eating squirrel . . .
I'm surprised that nobody has mentioned the glands on these little critters. Most of the time they'll come off with the skin, but sometimes (especially on big old fox squirrels) you have to remove them manually. Otherwise you might get to experience that gamey taste that some people - usually those who have never tasted squirrel - complain of.
Anyway, for those that don't know, squirrel glands are found in two locations: behind each foreleg (looking like a dime-sized piece of grey tissue) and on the back side of the hind legs above the knee. This one looks like a grey piece of gristle about like a grain of rice, and will be embedded in the flesh. Lift it out on each side with the tip of a pocketknife. I also soak the meat in salted water (about 2 tbsp. salt to a half-gallon) for a few hours before cooking, changing the water every now and then.
As mentioned above, this is more important on larger squirrels. Young, tender grey squirrels may not need the extra attention. Your mileage may vary. As for how I hunt them, I use a 20-gauge with #6 shot when the leaves are on the trees and a scoped .22 later in the fall and winter. I like to fry up the young ones, make gravy out of the drippings, and serve them with buttermilk biscuits; I use the older ones in stew. Either white wine or beer makes a good braising liquid when used in equal parts with chicken stock, and a little garlic and rosemary is a good thing. I personally find squirrel to have much more flavor than the pale, corn-fed factory birds they try to pass off as chicken in the store these days, but I can understand the stigma that surrounds eating them. It just means more for me.