The traditional way of eating monkey brains in China (Man Han Chun Shi) is to seal its mouth and tie it tightly under a special table with a hole in the top to admit its skull, which you then shave and open up to extract the delicacy within. If your seal was insufficiently strong the monkey would squeal and howl, though I wouldn't imagine that at this stage that would put any of the surviving prospective diners off.
The modern, cruelty-free method is to get the monkeys drunk on rice wine, until they pass out. You then tie them up so they won't awaken and struggle under the impact of having their skull sliced open and their brains scooped out.
The brain should be eaten still warm, with the blood vessels still pulsating. This is because it spoils if you leave it long enough for the neurones to die. It still doesn't taste much, like watery tofu, so the traditional seasoning is of sour ginger, chili, peanuts, and coriander. Yum!
According to old Chinese belief it affects the like organ in humans: MONKEY TOFU! MONKEY TOFU MAKES YOU BRAINY!
The web page I mention below sounds fairly authentic, and has photos. It says the practice has largely disappeared, but they tracked down an instance in the village of Ping Xiang, in the Kung Shi region near the border with Vietnam. It is still possible that this is a hoax; I can't comment. (Thanks to anthropod for sowing doubt: it is natural to suppose this is a Western myth.)
It is reported from Gabon that a recent outbreak of Ebola has forced villagers to take monkey brains and elephant trunks off the menu; however they're only mentioned in the headline, and the article is just about bush meat, i.e. monkey flesh as food.
http://www.iohk.com/UserPages/kcchan/monkey.htm for China
http://ca.news.yahoo.com/020101/5/gfsj.html for the Gabon news