Look for squash with smooth skins and no soft spots or blemishes. They should also feel heavy for their size.
Preheat oven to 450 degrees. Halve each squash lengthwise. Scoop out and discard seeds. Carefully cut each half into four wedges.
On a rimmed baking sheet, combine squash with shallots, fresh rosemary, olive oil, and balsamic vinegar. Season with salt and pepper; toss well to coat, and spread in a single layer.
Roast, turning squash halfway through, until browned and tender, 35 to 40 minutes.