The basic technique that I've found effective is to "dry fry" them in a pan to allow water to cook off before adding any other wet or fat ingredients, including oil or butter. If you skip this step, you'll often end up with a bit of a rubbery texture. I recommend cooking them in a small cast-iron pan, but a nonstick pan will do.
I usually season with little more than shallots and/or garlic, plus butter, salt and pepper. But I always add the butter after a fair amount of water has been extracted from the mushrooms and cooked off.
Chanterelles seem to have a lot more water than most other mushrooms. I haven't verified that scientifically, but I tried following the same technique with button or small crimini mushrooms, and little to no water comes out in dry frying. (Large crimini mushrooms, also called portabella mushrooms, will give off a fair amount of water when roasted, but nothing quite like fresh chanterelles). Shiitake and even oyster mushrooms don't give off much, either.