Depending on the type of chestnut, you can "fry" them in a pan with the skin still on. I think that that's the "roasted chestnuts by the fire" thing in the Christmas song. All you have to do is to cut a small slit in the skin (I was told as a kid that otherwise a chestnut would explode but I don't know how true that is as I have never seen one explode myself). After you have scored them, you can just "fry" the chestnuts in a pan on a stove or an open flame. The traditional roasting pans were made of sheet metal and had holes in them to let the heat and flame in to speed up the cooking. I have found that a cast-iron pan cooks them well enough even if it's slower. You know that the chestnuts are cooked when the skin becomes dry and it breaks off easily from the chestnuts. If they are undercooked, you will still see the "fuzzy" second skin sticking to them and they will taste very bitter. Cooked ones will be golden in color and their skins (both the outside one and the fuzzy one) will just peel off. My favorite thing is to give peeled chestnuts to someone you care about while you eat them. They will appreciate it because peeling chestnuts inevitably burns your fingers.
Keep in mind that roasting chestnuts is appropriate only for some types of chestnuts. the roasting kind have a "square" bottom with two long, parallel sides. Wild chestnuts (which usually are smaller and have a bulgy side) do not roast well at all. Instead, you will want to boil them in salt until they are soft. To eat them, you bite and split them in the middle with your teeth and "suck" out the pulp. The pulp is somewhat sweet and not bad. They are good for a snack as they are easy to carry around and last a few days. Roasted chestnuts are only good while warm and they become very hard to eat after they cool off.
If you can make (or find) some chestnut flour, there are recipes for chestnut cake, chestnut pancakes, or fried chestnut dumplings. All of those taste very unique and weird (I never got used to it) and are way worse than anything "modern" made with regular white flour. I really got to eat them when visiting "old school", cheap relatives for Christmas. I heard that people used to make chestnut bread but I never had that.
Chestnuts are also perfect for a Winter risotto. The undertones of cooked down shallots with the texture of Arborio rice and the flavor of chestnuts are a perfect combination.
I've blown up a number of them. Kind of reminds me of exploding a hard boiled egg- if you get unlucky, the inside turns to powder which is now all over your oven/ house
My mom exploded a chestnut once. It sounded like an m-80, blew a few of its neighbors off the cookie sheet, and the inside of the oven was spattered with fluffy bits of flesh.
Keep in mind that roasting chestnuts is appropriate only for some types of chestnuts. the roasting kind have a "square" bottom with two long, parallel sides. Wild chestnuts (which usually are smaller and have a bulgy side) do not roast well at all. Instead, you will want to boil them in salt until they are soft. To eat them, you bite and split them in the middle with your teeth and "suck" out the pulp. The pulp is somewhat sweet and not bad. They are good for a snack as they are easy to carry around and last a few days. Roasted chestnuts are only good while warm and they become very hard to eat after they cool off.
If you can make (or find) some chestnut flour, there are recipes for chestnut cake, chestnut pancakes, or fried chestnut dumplings. All of those taste very unique and weird (I never got used to it) and are way worse than anything "modern" made with regular white flour. I really got to eat them when visiting "old school", cheap relatives for Christmas. I heard that people used to make chestnut bread but I never had that.