This fish always confounds me and I can really cook fish well. Maybe because the season is so short and we've had a local moratorium on it for several years and it's been hard to come by. I haven't had much chance lately.
I've been waiting for it to show up and then this morning's Washington Post had several articles that may answer your questions. http://www.washingtonpost.com/wp-dyn/...
I think if you can find it in your local market, you're best off buying well-boned filets. Shad is extremely boney and takes enormous skill to filet. Not something that your average fish counter can handle. Go to a specialty market.
Simple preparations are always best for shad. Lightly floured and sauteed in butter. It's a flavorful fish that I have always enjoyed.
The roe is particularly tasty but many dislike the flavor comparing it to liver. It's delicate, usually prepared with bacon to keep it from drying out.
If you've never had it before, find a restaurant offering it as a seasonal special. Just make sure that they are doing a simple traditional preparation so you'll get the full flavor of the fish. I'll probably do that myself this year rather than cooking it at home.
This is a recipe from the 1918 Fannie Farmer Boston Cooking School cookbook. I believe a hot oven means preheated to 450 degrees F.
Planked Shad or Whitefish
Clean and split a three-pound shad. Put skin side down on a buttered oak plank one inch thick, and a little longer and wider than the fish, sprinkle with salt and pepper, and brush over with melted butter. Bake twenty-five minutes in hot oven. Remove from oven, spread with butter, and garnish with parsley and lemon. The fish should be sent to the table on plank. Planked Shad is well cooked in a gas range having the flame over the fish.
Are you buying filets or do you have a whole, dressed fish? If filets, you can broil it with some bacon strips on top, and that is mighty fine. If you have a whole fish, place it on a baking sheet, put thinly sliced lemons inside the body cavity along with dabs of butter. Rub the outer surface with butter, and bake at 350 F until the meat appears opaque and white.
Remember, there is nothing bonier than a shad with those troublesome Y- and J-bones, but it is sweet meat indeed. It will just be a very quiet meal...