Yep I have eaten it quite a few times. Depending on the particular coon in question you will want to choose one over the other.
If it is a bigger and more importantly older and tougher coon, you will want to pressure cook that bad boy til it gets tender and then finish by cooking down in a brown gravy until it is falling apart tender and serve with rice or taters.
If its a smaller more tender coon, it is suitable for roasting. The common method which has already been mentioned is to season them up and roast them in a pan with cut up sweet potatoes.
Most importantly though however you decide to cook it, be sure that you remove all, and I do mean ALL of the fat. Coon fat is nasty! Also do make sure you get rid of those glands which are also bad news.
Its pretty good actually. Tastes a lot like beef.