You may have heard of chestnuts popping on an open fire. Actually you don't want them popping too much. To keep them from literally exploding, cut a little X in the shell of the chestnut to let out the steam as they cook. This is easily done by pushing the point of a paring knife through the shell.
Make sure to inspect the chestnuts and throw out any that are cracked, moldy or rattle. If the meat inside is dried out the chestnuts will rattle with a hard sound like a marble inside. These are no good.