I've never had armadillo and the only 'possum I've had was in stew ... but that was delicious! I agree on the gator, although I've only had it a couple of times. It was okay, but I wasn't impressed. Snake? Nasty! I don't like the texture, but I have to disagree on the venison. Most people don't know how to prep it. The fat is almost non-existent, so you have to add your own. I marinate mine in olive oil, orange juice and whatever seasonings appeal to me at the moment ... but always with lots of onion and garlic. You can substitute pretty much any acidic liquid for the OJ - AC vinegar, lemon juice, red wine, you name it. Let it sit for a couple of hours, then cook as usual.
If you mix ground venison with ground beef, you get the most amazing burgers ... no marinating required. We mix it with ground beef and pork for the most amazing meatloaf!
We used to eat a lot of squirrel, but it's too much trouble to clean. I can still see my little brother's excitement when he kept finding "wishbones" in his squirrel dinner ... 'cause we told him it was chicken!