The tail is skinned and cut into sections; each section has a tailbone with some marrow in the center, and a bony portion of meat surrounding the tail. The meat is gelatinous, and is best used for stocks, soups, and braises. It's common in Italian and Korean cuisine to see oxtail used as an ingredient.
Oxtail requires a long time to cook since it's so bony and fatty; this is the perfect braising meat. At one point, oxtail was considered a part of the animal that only poor people ate, due to its high fat content and long cooking time. This made it cheap. However, as gourmands discovered oxtail in recent years, the prices went up.
Here are some recipes to try:
Oxtail Braised in Red Wine (The Greedy Gourmet)
Jamaican Oxtail Stew (Food in Jamaica)
Coda alla Vaccarina - a famous Italian dish. (Apple Pie, Pastis, & Pâté)
Chinese Braised Oxtail Stew (Sunday Night Dinner)