It depends upon the type of squash you consider. Generally, most summer squash skins provide little to no nutrition and taste quite bitter. All winter squash skins are edible, although some may lack adequate flavor.
You can cook honey nut, acorn, and delicata without peeling since their skin is too thin to become an obstacle. If anything, it adds to the texture of the dish. On the other hand, squashes like kuri, kabocha, and butternut have thick skins with lots of fiber. You can steam or boil them to add as a side with any dinner course.