My personal favorite is plucked, rubbed all over (and under the skin and cavity) with a paste of thyme, rosemary, garlic, olive oil, salt and pepper. Roast uncovered as hot as your oven will go until about medium (juices run pink). Serve with mashed potatoes and some mushrooms sautéed in butter and thyme.
Since I rarely have the patience to pluck them, skinned birds go well in any chicken recipe that calls for braising and has some 'earthiness' - grouse paprika, grouse cacciatore, etc.
Stir fry is good, too. Basically either quick and hot or low and slow, nothing in the middle with grouse. Remember you don't have to cook them to well-done...you can leave wild birds medium (no risk of salmonella , etc with wild birds).
My new favorite is brined and smoked - although it helps a great deal to know the chef at a place that specializes in smoked meats. Last ones he did for me a few weeks ago,I brined overnight in a pretty standard poultry brine, but I augmented with a pound of Anaheim/Jalapeños from the garden and replaced 1/3 the water with Dales Pale Ale. They were utterly awesome. probably not hard to do at home for those that have a smoker.
Doves - the few I've shot - I've done the jalapeño/bacon thing and they were good.