Is it a freshly cooked lobster you are buying? If it is one that's cooked and frozen, you really won't be tasting lobster at its best. Frankly, I don't think they are worth bothering with. If its freshly cooked, then I wouldn't really do anything with it except learning how to present it in the shell, if you are going to eat it cold. You need step by step instructions which you can find online:
http://www.jamieoliver.com/videos/how-to-prepare-a-cooked-lobster/
Some fishmongers will do this for you. If you want it cooked, I'd simply split the lobster (or get the fishmonger to do it) and grill it in the shell with a little butter and garlic and perhaps some fresh herbs sprinkled on top. The shell will exude a delicious aroma as you grill! It should take about 4 to five minutes under a hot grill.
Do not discard the shell once you have eaten the lobster. It makes shellfish stock to die for!