It is very hard to peel when raw. If you can bake it first (or microwave it), the skin will come off easily. in fact, that is one sign it is "done!"

I like to cut in half length wise, clean out the seeds etc. Place skin side up on a pan, bake. When done, turn it over, using a knife put some gashes, and put butter, cinnamon, brown sugar or all 3! Let is soak in a bit through the gashes.

Then you can peel it and chunk it and serve as a side dish; or peel it and mash it up.