When it's served as sushi it's very lightly boiled first.
Greeks are famous for grilled octopus.
I think that both those methods have in common that they are fast and the octopus won't get overcooked. If it's overcooked it is rubbery and tough. So, probably no stewing or baking, but you could lightly fry, grill or briefly boil it.
I think grilling sounds best, especially in summertime! Probably just salt and pepper it and brush with some nice olive oil. Oh, it's already in olive oil. Maybe add some goya seasoning (my dad always uses it to grill anything) for extra kick.