I've tasted barbequed possum and coon both.
Possum was too gamey.
Coon was too greasy.
Never tried armadillo.
Squirrel is good - fix it like chicken, either floured and fried or boiled with dumplings. Gotta' get them BIG squirrels from the midwest that been eating acorns and walnuts though. These little things around here aren't big enough to eat...