Preheat your oven to 400F (200C).
Cut an x into the shell of each chestnut so that the steam can escape. I'm warning you DON'T USE A SMALL PARING KNIFE! The shells are rounded and hard, so it's really, really easy for the knife to slip off, and straight into your finger. The easiest and safest method I have found to cut the x in the shell is to use my very special "thwacking" method.
How to Thwack: put one chestnut on a cutting board. Take a large heavy chefs knife in one hand. Put the other hand behind your back, nowhere near the chestnut! Now hold the chefs knife about 6 inches above the chestnut, and now thwack the chestnut. If all went well you would have cut a nice clean line without removing any fingers. Rotate the chestnut and thwack again to make an x. Repeat with the remaining chestnuts. It might take a little practice to get the perfect amount of thwacking force and aim, but you'll get the hang of it, I promise.
Roast for about 20 minutes. When they are ready, the shells will flower open, and the chestnuts inside will have a slight golden kiss and will look a little shiny.
To peel them all in one go: wrap the hot chestnuts in a tea towel use your hand to crunch them together. This helps break up the shells quickly, so that they are easy to peel.
To snack on them one by one: just peel them as you snack. They are easier to peel while they are still warm.