I'm not sure if it's an aquired taste, or not. I'd likely try it first at a restaurant rather than cooking it at home, with the assumption that the chef has experience with them, and so would know if there are any issues in how to best prepare them.
That being said, I've had sheep testicles once when I lived in Kentucky. (at Hall's on the River, served as 'lamb fries'). I was expecting something more like out of Funny Farm, but they were breaded and fried. (and thus, the name makes sense). I made the mistake of ordering them with onion rings, and two fried things made the meal too heavy ... it might've been better if I had gotten something to better balance it.
All that being said ... I don't know that I'd cook 'em myself. Maybe if I had a better experience, but from that restaurant, I'd rather re-create a Kentucky Hot Brown
(note) There was likely drinking involved on that night, although I was typically the designated driver for our group. I know that it was part of a dare from Drew Curtis and some of the other people I was with.