Place the butternut squash halves in a roasting pan, cut sides up. Brush with the olive oil and add the sprigs of rosemary or thyme. Transfer to the oven and bake for 40-45 minutes, or until the squash is tender when tested with a knife.
Meanwhile, make the salsa by mixing together the celery, red onion, cucumber, tomatoes, parsley and chunks of Cheddar. Season to taste.
Serve the butternut squash with the salsa spooned into the cavities.