Okay, yes, there are some toxicity concerns here. Basically you're eating the liver and such of the crab, which means you're eating all the toxins it's been able to filter out. But I would look for serious and authoritative information before deciding one way or another: you are going to hear everything between "never eat it, it's poison!" and "it's the best part, don't listen to the crazies!" My feeling -- which is not in any way authoritative -- is that unless you have good reason to believe that the guts are seriously toxic, you should be fine as long as you don't eat huge quantities regularly and you make sure they're cooked. Certainly listeria isn't a worry if you cook the stuff. I'd start by steaming the crab until just cooked. Shell and pick, and reserve the guts as well as the meat. Be sure to simmer the shells for a while to get a crab stock.
As for preparation, a very Japanese approach is to mix the crab "miso" (what they call the guts, which in English are generally called "mustard") with soy, sake, ginger, and sour citrus juice. Of these flavors, soy should be first, then citrus, with the others well in the background. But having mixed a liquid like this, you then add it to "miso", working it in with a mortar and pestle (for example), and tasting as you go: don't add so much that you overpower the intense but subtle crabby-fatty flavor. The soy and stuff are just an accent to bring the crab flavor forward. The result is a dipping sauce, into which you can dip your cold cooked crabmeat.
An alternative would draw on the same principle in a Western style. The classic dip for cold crab in the West is mayonnaise, so use the crab "mustard" and a small amount of intense citrus (grapefruit + key lime juices mixed?) as a flavor base, add only one egg yolk, and then work in the oil from there. The crab "mustard" should hold some oil, much as egg yolk does.