Over the years, I've played around with many winter squash varieties, Here's a list of favorites, based purely on flavor. In my opinion, acorn squash is the best squash to just bake and eat; the flesh is golden yellow, dry, and sweet, with a definable but pleasant texture.
Butternut squash is very versatile and easy to handle. Its orange flesh is thick, dry, fine-grained, and sweet. Because of its density and ease of preparation, butternut is the squash to use when you want to dice or slice or present squash in any form other than a purée or a roasted chunk.
Hubbard squash is often sold in pieces because it can grow to cumbersome sizes. This popular New England squash usually has a gorgeous, gray-blue shell, with a fine-grained flesh that's dry, somewhat mealy, and very flavorful. It's perfect for pies.
A current favorite of mine is an heirloom squash called a cheese squash (or cheese pumpkin). It resembles an old-fashioned flattened cheese box. It's a good-size squash with tan skin, thick, deep-orange flesh, a coarse texture, and a really sweet flavor.