"The shell of this hearty blueshell snail acted as a tiny slow cooker as it was roasted. Some people love the trademark bitterness of its tail meat." - Description of the Blueshell Escargot item
In addition to being a hearty meal for the hero of Hyrule, this delicacy is also a favorite of Phia from Star Ocean. There are several ways to prepare it...
You can leave the snail inside, or cut out the undesirable parts and return the chopped body to the shell before roasting. (Check out how to remove the undesireable parts here and here.) Some chefs also add soy sauce, butter, and/or sake only after roasting for some time. I'd suggest experimenting to see what you enjoy best.
If you don't live in Japan, you may have trouble finding blue turban shells. You may be able to make other recipes from the Zelda universe, though!
♦︎ The Legend of Zelda - Breath of the Wild ♦︎ Star Ocean ♦︎