Should octopus be cooked twice?
Actually, Harold McGee supports brine-and-simmer as an alternative to baking, and explains the texture-related goal behind both: octopus contains a lot of connective tissue, and both that and the muscle need to be softened.

I've read elsewhere (can't remember the source right now) that octopus muscle fibres contract and drive out their water at unusually low temperatures, such that the ideal cooking temperature is 55C. You're going to want long cooking times at those temperatures, so we're talking either sous vide or deep-fat frying in a temperature-regulated fryer.