We find the best way to treat milkweed is to cook it lightly, just blanch it until the leaves have wilted (about 2-5 minutes) and serve with a light dressing. Serve it in place of another freshly flavored green vegetable.
It really is one of the most delicious vegetables available in the summer and special care must be taken when harvesting since this plant is an important source of food for the monarch butterfly larvae in North America. Since the butterfly are already in decline, along with theirs and milkweed's habitats, it is best to considerately minimize your impact on the plant populations.
Although I often nibble common milkweed raw as I am harvesting it and cooking it I should advise you to eat it cooked since it is reported to contain small amounts of cardiac glycosides which are poisonous to humans when eaten in large quantities. The cardiac glycoside in question, digoxin, is considered to be water soluble and blanching and discarding the water should remove the toxin. I have not encountered any accounts of human poisoning by common milkweed but it is always best to err on the side of caution so a brief cooking will render your milkweed safe to enjoy.