Antelope can taste bad as others have said here, IF you don't cool it fast but if properly cared for it's excellent. In fact I'd call it outstanding if you care for the meat right.

One trick we use on every antelope we shoot is to get it into COLD salt water ASAP. Carry ice in a cooler if you can for the process.
The salt draws out the blood and the blood is where all the "gamy taste" is. not in the meat itself. If you let it set in warmer conditions the blood stays in the meat the taste can be very strong. But if you get it into cold salt water soon after you shoot, gut and skin it, the blood is drawn out and the water get quite red. I usually do this blood-draw 2 days in a row. When I butcher it up the meat is not near as red looking after that, and the flavor is better then many other types of wild meat.

I have done many a steak from Pronghorns on the grill and I do it very like fremont said, with bacon wraps over hardwood charcoal.
I marinade it for a day in white wine and garlic powder with a tablespoon of lime juice and some basil, then wrap bacon over it and grill it. Don't over-cook.
Cut the stakes thin about 3/4". Only grill for about 2 minutes on the 1st side and 90 seconds on the other.

I bet you'll like it