Haruo Satoh 佐藤春夫 publish around 1922 called "Song of Sanma" or 秋刀魚の歌 (link is in Japanese). One passage of the poem "Sanma nigai ka shoppai ka" 秋刀魚苦いか塩っぱいか "Does sanma taste bitter or salty?" has become a Japanese metaphor for the hardships of "life". As lowly as this fish may have been (not much meat, oily with lots of small bones), it is best eaten simply grilled with soy sauce and grated daikon. This point was well made in one of the classic stories entitled "Meguro-no sanma" 目黒のさんま (sorry, again, this link is in Japanese) from "Rakugo" 落語 the traditional Japanese art of story telling. For those who may not read Japanese here is the story in a nutshell. A lord out on a hunting trip stops at a farmer's house and asks for something to eat. The poor farmer only had the lowly Sanma and although it was something they knew a lord would never eat otherwise they simply grilled it and served it. The lord thought it was great. When he returned home, he wanted to taste it again. His servants went to the best fish market in Nihonbashi 日本橋 (No Tsukiji 築地 market at the time of this story) to get the sanma, carefully steamed it, removed all the little bones and served it in a lacquer ware bowel. After all that preparation the oil and flavor were gone. The lord told his servants this was not the fish he had before. When he found out it came from the best fish market, he declared as a self appointed sanma connoisseur, the best sanma had to come from "Meguro" the inland area where he had eaten it before. (even though Meguro could not possibly have had the best fish).
In any case, we (regular consumers) can only get frozen sanma here. We had frozen sanma before and I was not impressed since it was dry and not oily enough (fresh seasonal sanma should be very oily; in Japanese parlance "abura ga notte iru" 油がのっている.) I read of Jon eating sanma at one of his Izakaya, which prompted me to try it at home again. For grilling, I do not particularly like to retain the innards (keeping the innards is the more traditional method, in that case, sanma really tastes bitter. I only consider keeping the innards if I stew the fish Japanese style and the fish is fresh). I thawed the sanma and cleaned it (removing head, gills and innards) and lightly salted it. I just grilled it over the charcoal fire.
P.S. We stopped by Tako Grill the other evening and Chef Kudo told us that they had fresh sanma. He offered sanma sashimi (I do not think I ever had sanma as sashimi). It tasted like "saba" サバ or mackerel but a bit more gentle tasting, quite oily but absolutely no fishy smell. It was surprisingly good. The head and bones were later served to us simply deep fried (This is called "hone senbei" 骨煎餅 "bone cracker", because of its crunchy crispy texture resembling Japanese crackers or "senbei"). We ate them all except for the very tip of the tail. Since the sashimi was excellent, we had to have grilled sanma. They kept the head but innards were cleaned (which is to our liking). This was by far the best sanma we have eaten. My wife said that after all these years she finally understands what sanma is all about. Only problem is that this is not a lowly cheap fish any longer. It is almost as expensive as Toro.