I do
when i can find them. Sliced and boiled, pretty bland, but it reminds me of my childhood. It's just a big courgette at the end of the day, and so could be used for much the same things if you wanted.
Edit to add:
the internet quoth "These days, commercial growers have standardized their terminology relating to courgettes, zucchinis and marrows:

Courgettes are the baby fruit of several types of marrow, harvested when they are 14 x 4 cm long, the size of a cigar.

Zucchinis are the fruits of the same plant harvested when they are 15 to 20 cm long.

Marrows are the semi-mature fruits which have reached full size. "
( CQ Knows the truth, all of it., Fri 7 May 2010, 14:02, Reply)