When choosing your chestnuts, avoid nuts that have small holes in them, which could indicate worms. The chestnuts should be firm and solid and not feel squishy with air between the shell and the meat because that would indicate that they're old and that there could be mold in them.
You'll want to make sure that you score the flat side of the chestnut with a knife (or better yet, the chestnut knives linked above) to keep the nuts from bursting under the heat of the oven.
Preheat your oven to 400 degrees.
Spread the chestnuts on a baking sheet, with the scored sides up.
Cooking time will vary based on the size of the nuts- I baked mine for 30 to 40 minutes because they were very large. I would check smaller nuts starting at 15 minutes and go from there.
You can tell that they're done because the shell around the peeled area begins to peel back a bit.
Once they're done, you'll peel off the shell and the fuzzy, papery skin and enjoy!