I like browning the squash in the pan to get good caramelization on the cut sides. If the oven is already on, feel free to finish cooking the squash there to free up a burner. Also note that if you cut the squash into large pieces (more than 1 inch [2.5 cm] thick) you will need to finish the squash in the oven after the initial sear because it will never cook all the way through without burning.
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