When I was a little kid, my mom and dad would scramble calf brains and eggs
in bacon grease.  Omigod, it looked horrible to me and I never ate it.  I do
remember the very last time they ever cooked this, when I was about 8 years
old.  My mother commented that "they," the brains, didn't taste the same as
they used to.  In retrospect, I think she must have been comparing the taste
of farm raised/slaughtered brains that she grew up on to what, when I was a
kid, was commercially available.  I'm thinking that if the taste was
noticeably different to her, this might represent a difference in the
constituency of the brain fats from farm raised to feedlot raised.

I think it was about 12 years ago when my sons were first learning to hunt
that my dad told me/them to fry up the heads of the squirrels and then crack
them open and eat the brains.  He said they were the best part of the
squirrel (and that he and his brothers and sisters would argue over who got
the heads when they were kids).  None of us ever had the stomach to try
this.

A year or two ago, it was reported in our newspapers that a local man had
died from a Creutzfeld-Jakob/BSE-type disorder.  The origin was completely
unknown, but it was reported that he hunted a lot and always ate the
squirrels' brains.

My husband says scrapie (also a prion-disorder) is pretty common to sheep,
so I'd be very wary of eating sheep brains.  But, honestly, I don't think I
could make myself eat any kind of brains at all.  I normally think of myself
as an adventurous eater, but some things I'm just squeamish about.

Related thought:  My Cajun acquaintances "suck the head" of
crawdaddies/crawfish/crayfish.  I'm not sure what's in there since I can't
see inside or remember my biology very well, but I think they have some kind
of bulbous-type ganglion brain.

Theola