They're brassicas, related to cabbage, kale and so on, so they taste similar to those, most similar to cabbage. Many people don't like them because of the slightly bitter taste, but varieties have been developed that taste better. So just try some and see what you think.
In fact the top leaves are just like leafy cabbage and my mother used to buy "brussel tops". Have you ever seen a Brussels sprouts plant? It's an odd looking thing - a thick stem with the sprouts spiralling round it, with leaves both at the top and attached to the stem between the sprouts. I know a supermarket where, in season, you can get stems with the sprouts still attached.
The simplest way to cook them is boil for 5-10 minutes, depending on size, in salted water. Or if you get them in a pack with instructions, follow those. Overcooking makes any bitter taste worse, so don't overdo it - they should still be fairly firm, almost crunchy. Some people cut a cross in the bottom of each sprout in the belief that this will help heat penetrate better into the thickest part, but you don't really need to.