Around Lisbon, it's usually stewed with red wine and tomato and spices (coelho à caçador). It can also be fried or grilled but I rarely see it cooked that way.
It's the kind of meat that is, generally speaking, better prepared in more rustic versions as you move inland, though -- see e.g. [1], where it's cooked in clay, together with kidneys, heart, liver, and the head.