American or white shad are very good smoked and if you know how to fillet them just right, are excellent fresh. If filleted wrong, they are very bony. Hickory shad a close relative are also good. The female shad in the spring full of eggs are great, because you can cook up the eggs sacks and eat them as well. Very good!
Gizzard shad, never tried them... I have seen some Salvadorians and Asians keeping them to eat, but I would pass personally.