Mackerels tend to be oily fish. Spanish Mackerel are one of the better eating of the bunch.
Fillets tend to be soft and will become mushy when baked.
Frying works but since the fish is oily by nature, frying can make them taste "fishy" if you don't have the oil hot and the fillets and coating cold.
I prefer to grill them over HIGH direct heat. That means a pile of rippin charcoal. Add fish to a wire grilling basket and then season to taste. I like cajun style ++ extra garlic such as Tony Cachre's creole seasoning and a couple shakes of granulated garlic. Squeeze some lemon or lime over them and spritz them with vegetable oil. (cooking spray).
When your coals are ready, put basket on grill over direct heat and grill for 3-4 minutes per side. I like mine a little crispy on the edges and cook it a bit longer.
Just before it is done, drizzle with a LITTLE melted lemon butter and allow grill to flare for a few seconds.
Serve over a bed of rice pilaf or similar.
