I like to slice them length wise, brush with olive oil, sprinkle some seasonings (thyme, basil and oregano) and grill. Then top with mozzarella cheese and let it melt a bit. YUM.
or
Cut it into bite size chunks and stir fry in olive oil with the above seasonings or garlic until soft. Or roast it in the oven along with some other veggies. (Fix it the same way, just put it in a roasting pan)
You can either leave the skin on or peel it, whichever you prefer.