I just use a decent potato peeler (unless I am making butternut squash bread when I simply bake it whole in the oven - no peeling required - and then mix the flesh with flour, baking powder, salt and other flavourings - if you want the recipe just post back here and I'll put it up for you).
I don't peel it. If roasting, I just cut it into chunks and put on a hot oiled tray n roast for half hour. When cooked, the peel just slides off, or I eat it as it is. Yum.