Preheat oven to 425°.
Peel the outer skin and light colored flesh from the squash, cut off the stem end, then cut into two pieces at the waist, (this will make it much easier and safer to halve the squash lengthwise).
Halve the two sections, lengthwise and cut off the bottom end and remove the seeds with a spoon. Cut the squash into 1/2" slices.
Melt the butter, and put the squash into a large bowl. pour in the melted butter, salt and pepper and toss by hand to fully coat the pieces.
Spray a large, rimmed baking sheet lightly with cooking oil, then lay in the slices of squash, preferably so that they are not touching. Bake for 20 minutes, turning the sheet around after 10 minutes.
Remove from the oven and use a small metal turner to flip each slice to the other side. Bake for another 10 to 15 minutes, until the squash is tender.
While the squash is baking, mix the maple syrup and cayenne pepper in a small bowl. Strip the leaves of fresh thyme off the stems. Toast and chop the walnuts. Crumble the goat cheese.
Remove from the oven and layer the pieces on a serving dish then drizzle on the maple syrup, sprinkle with the walnuts, goat cheese and thyme leaves.
Serve right away or at room temperature.