Whole quail is at its best when roasted to perfection with nice, crispy skin. People are often afraid to try quail as it is very lean and can be easily overcooked; the key is to cook it quickly and allow it to rest before devouring.
Quail is often wrapped in pancetta before roasting, as Bruno Loubet does in his recipe. This not only imparts extra flavour to the bird but protects the breast from drying out while the legs finish cooking. Martin Wishart stuffs butter and herb under the skin before cooking his quails for the same reason.