Freshest of fresh squid is the key. You can fry or deep fry, but this way keeps the squid tender and sweet with a little crunch. Cut tubes into 1/2″ thickness, remove any side fins which are tough. Use tentacle heads as well. Drizzle a cookie sheet with olive oil. Dip squid pieces in milk and then panko crumbs and place on cookie sheet so not touching. Preheat broiler to high. Drizzle olive oil over the squid pieces and place on top rack under the broiler for about 3 minutes, watching carefully so crumbs just get golden, not burned. Turn for another 2-3 minutes, tentacles may take longer again until golden brown and crunchy.
Dip into cocktail sauce using ketchup, horseradish, tabasco, lemon juice to taste.