While most of my recipes have some sort of domestic equivalent, this is not one of them. There is nothing you can buy that is even close to a snipe. Even a quail is significantly larger, and while squab is a close approximation in flavor, a squab is three times the size of a snipe. So non-hunters, you're out of luck. Hunters, try not to mess with your snipe too much, and by all means pluck them. Yes, it is persnickety, but this is more or less a ceremonial meal anyhow, so you might as well go the whole way.
Preheat oven as hot as it will go, hopefully 500°F or even hotter. Do this for a solid 30 minutes. Meanwhile, take the snipe out of the fridge and smear them all over with lard or butter. Sprinkle salt inside the cavity and all over the birds. Let rest while the oven heats up.
Arrange the snipe in an ovenproof pan -- cast iron is perfect -- with a few tablespoons of water in it. You want just a little water in the pan, not enough to cover the bottom. This helps keep the snipe moist. Roast in the oven for 5 minutes. Take the birds out and baste them with more butter, lard or olive oil. Roast for 3 to 7 minutes more, depending on how you like your snipe. I like mine medium, so I go for a total of 10 minutes in the oven.
Remove the snipe from the oven and set them on a cutting board. Let them rest uncovered for 5 minutes before serving. Sprinkle some good vinegar and black pepper on the snipe right before serving. Eat with your fingers.
Notes
Serve snipe as an appetizer. They are really pick-up-and-eat food, so a dipping sauce is one idea, but I prefer just a splash of really good vinegar.