Bluegill (and other types of sunfish, too) are indeed good to eat. Just cook 'em any way you would bass or crappie. Typically coat them with some kind of crumbs or breading and pan-fry them. Another way is to just roll them in melted butter, sprinkle with parsley flakes & a little paprika, add salt & pepper, and bake in a 350 deg. oven for 15-20 min. depending on thickness.
I should mention, when dressing out bluegills, a lot of fishermen like to scale them and leave the skin on. Do that if you want to, but I prefer to remove the skin entirely and no scaling. About 75% of the "fishy" taste in a fish is in or right under the skin, and if you skin them you end up with a better tasting fish. Same goes for crappies and bass. Of course, they're in the sunfish family, too.