Well, you can actually eat them, I suppose, but it seems like some people have gone to a lot of effort figuring out ways to fight them, torch them, shoot them and in every way possible torture the ubiquitous confections - up to and including making pop-art diorama projects with the sticky critters.
The best so far is from these industrious folks at Hackerbot Labs who apparently make a habit of Peep torture annually. They froze the little sugar bombs in liquid nitrogen, then shot them with a pellet gun and filmed the pink explosion in closeup, which is what you see at the top of the post and can find more of here.
Before that there was the nifty experiment of a Peep in a vacuum - no, not the type you clean the floor with - with 9,000 volts running through it. Peep go fry-bye.
And for the more sporting of you, there's Peep jousting, complete with brackets. All you need is a microwave, some toothpicks and, of course, a few teams of the Peeps in colors you like best - or least. A lot of beer seems like it might be an unmentioned but necessary ingredient as well. Check this out for an extraordinarily detailed account of how you smash these little guys into eachother.
So go grab a few packs of Peeps - likely a few packs of brews, too - and make some marshmallowy science or art for yourself!