It's not generally considered a good idea to eat urban/suburban rodents. Their diet/lifestyle includes a lot of things that can potentially be passed along (stuff sprayed with pesticides & herbicides, exposure to interesting pathogens, etc).

That said, I have eaten them. Not bad, like rabbit I suppose, but not something I ever think "you know, I gotta get me some squirrel for dinner tonight". Not sure about cholesterol; did Eddie drop that wisdom before or after they replaced his metal plate in his skull with a plastic one?