I've been told gamey. Guy I work with has quite a few. Not a great deal of meat though apparently. Pigeon be better if you're after free. Just cut the breast off and chuck the rest.
I've cooked squirrel a couple of times. Flavour is similar to Rabbit or you could think of it as a gamey chicken. There's very very little fat and not a lot of meat full stop. I braised mine rather than a straight grill. I'm sort of glad that I tried it but unlikely to do it again.