雲丹 (uni, sea urchin ovaries) are one of the 'three great delicacies under the heavens' (天下の三大珍味), along with karasumi (salted dried mullet roe) and konowata (fermented sea slug intestines). From personal experience, I can tell you it's the best of the three. It can be used in sauces or steamed, then deep-fried, but that's for the inferior stuff. Really good uni, like everything nice in Japanese cuisine, should be eaten raw.
There are two main kinds of uni: 紫雲丹 (purple uni) and 馬糞雲丹 (horse poop uni). Purple uni has long, delicate spines and lighter-colored ovaries, and horse poop uni (named for it's shape) has darker orange ovaries with a finer texture and is the favored variety.
Uni usually comes pre-packaged lined up in little trays, but we got our hands on a box of live uni at the restaurant. It's the first time I've ever dealt with them in the original form. We cut the tops off and served them as-is with a spoon. The staff was given one to split. The liquid inside was like seawater but not bitter, and the ovaries were smooth and very mild, with a sweetness that hit you in the aftertaste. Truly excellent.