On my last fishing trip, I caught a sea cucumber by my fishing hook.  I thought I hoked the bottom and took about 5 minutes to release it.  When I pulled the line in, what a surprise.  I was 1/2 mile away from shore and definitely more than 1000 feet to meet the fishing regulation requirements. 
Most of you guys wound not eat sea cucumbers. but I used to love them when I was growing up.

Has anyone caught sea cucumber before?

I snagged 11 of them on my last bottom fishing trips...

P.S. is it legal to keep a hook caught sea cucumber?

I am not an expert but I don't see any regulations prohibiting it, as long as you meet Invertebrates: 29.05. GENERAL. 
Especially, the following sections:

In addition, tidal invertebrates may not be taken in any tidepool or other areas between the
high tide mark (defned as Mean Higher High Tide) and 1,000 feet seaward and lateral to the low tide
mark (defned as Mean Lower Low Water) except as follows:

(1) Except where prohibited within state marine reserves, state marine parks, state marine
conservation areas, or other special closures only the following may be taken: red abalone, limpets,
moon snails, turban snails, chiones, clams, cockles, mussels, rock scallops, native oysters, octopuses,
squid, crabs, lobsters, shrimp, sand dollars, sea urchins and worms except that no worms may be taken
in any mussel bed, unless taken incidental to the harvesting of mussels.

How do you cook them?  What do they taste like if you don't mind me asking...
They don't look to pleasing to the eye sitting in the sink.
Looks like something Mr. bear left in the yard!
Thanks

Many of Chinese Seafood dish use them as an ingredient, typically dried ones. The name means “sea ginseng”.
I used to eat them sashimi, after cleaning and dipping in Korean (sweet and sour) red pepper paste.
When I was a kid in Korea, street vendors used to sell them.

Paul

I hooked a couple at Albion but just took em off the hook and sent them back where they came from.  I am not too fond of them, they are kind of gelatinous and rubbery and almost impossible to pick up with a pair of chopsticks. 

 
No thank you!  I can't touch slugs and snails with out gloves (yeck!) no way I'm touching that alien!