It depends. If you are making whole roasted butternut squash then no need to peel here. In fact, it is easier to scoop out the tender flesh when skin on. If you will be cutting the squash into chunks before roasting then it is best to remove the skin. I find it hard to peel the skin as many advise, even after microwaving the squash for a couple of minutes. What I do is, I usually cut the squash with a large sharp knife into thick circles and then carefully slice off the skins on those. That’s it!