Step 1Heat the oven to 400 degrees. Halve the squash lengthwise, scooping out and discarding the seeds. Place the squash on a large cookie sheet, brushing the top of each half with the oil. Sprinkle one-half teaspoon each salt and pepper over the halves. Roast the halves until golden brown and a knife easily pierces the flesh, 45 minutes to an hour, depending on the thickness of the squash. Remove and set aside until cool enough to handle, then scoop out the roasted flesh, discarding the shells.
Step 2In a 4-quart pot, combine the roasted butternut squash flesh with the onion, garlic, milk, sugar, butter, broth, nutmeg and cinnamon. Season with one-half teaspoon salt and one-fourth teaspoon pepper, or to taste. Bring the mixture to a gentle simmer, stirring occasionally, and cook for about 45 minutes to marry the flavors.
Step 3Blend the soup, in batches if necessary, then strain into a clean pot. Stir in the cream and heat until the soup is warmed. Taste and adjust the seasoning if desired. This makes about 2 1/2 quarts soup, which will keep, covered and refrigerated, up to 5 days.