Is there a good technique for cooking chestnuts?
If you are going to cook chestnuts, you need to score them first. Most commonly, they're scored in an X pattern -- try to do it on the side away from the flattest side. Make sure you cut all the way through the shell. Then as they cook, the shell will actually peel back slightly as they cook. Here's a link with pictures about baking them. (425 degrees until they're done, 20 to 30 minutes.)

For certain recipes, you can also boil them. According to this website, you can boil them for about 3 minutes and then peel them. You then will need to finish cooking them in your recipe. Or you can boil them in the shell for 15-20 minutes. This will lead to them falling apart -- which may be appropriate for a chestnut puree.  

Still another method I found is to cook them in oil, as described here. Cook for 5-10 minutes, stirring constantly.