It's really a southern thing: Maryland, North and South Carolina, New Orleans. I normally wouldn't order them in New York. They should be cooked within a few hours of their dying, because they spoil very quickly and the delicate, sweet flavor disappears. I normally order them in Florida or if I happen to be in the Washington DC area. It's a spring through September season.
The fishermen usually catch them when they're still hard shelled, put them in a salt water tank until they molt the hard shell and then quickly remove them before their shell can harden again.
It's not so bad, really; they do remove the gills and the abdomen, I think.
They also serve them deep fried in a sandwich with french fries. I guess I never thought about it, but it does look a little barbaric, yes?
They call it a Po-Boy.