Preheat your oven to 400°F (200°C). Line a large baking sheet with parchment paper or foil.
Carefully peel the butternut squash, slice it in half lengthwise, and scoop out the seeds. Cut the squash into 1-inch (2.5 cm) cubes.
Place the squash cubes directly on the prepared baking sheet. Drizzle with 1 tablespoon of the olive oil, then sprinkle with the chili powder, salt, and pepper. Toss well to coat all the pieces.
Arrange the squash in a single, even layer on the baking sheet. Roast for 20 to 25 minutes, stirring halfway through, until the squash is tender and has golden-brown edges.
While the squash roasts, prepare the vinaigrette. In a small bowl, whisk together the lime juice, chopped cilantro, honey, and the remaining 3 tablespoons of olive oil.
Once the squash is cooked, transfer it to a large bowl. Pour the vinaigrette over the warm squash and toss gently to combine.
Taste and add more salt if needed. Serve warm or at room temperature, garnished with crumbled feta if you like.