I've been making chestnuts in my tiny NYC oven for the last two years with this method:
take unpeeled, dry (ie right from the store) chestnuts and cut an X in the flat side of them with a knife.
Stick them in a 450 preheated over for about 17-20 minutes (or until they seem done, which they usually are) let them cool enough to shuck and enjoy.
Does anyone have any other techniques/suggestions/recipes? I like the way mine have been coming out, albeit they are a little dry at times, but have great flavor.