I've heard they don't cook up so good, but I have no first hand knowledge of that.
I was discussing this just the other day with a friend who goes snagging for paddlefish at one of our local lakes. He says that smoking the meat is the only way he's found to prepare it so that it tastes good.
You can also make caviar out of their roe. A google search will bring up some how-tos for this. I've never tried it.
