Your grocer will likely have two kinds of chestnuts: castagne, run-of-the-mill chestnuts, and marroni, larger, gloriously meaty chestnuts that can be an inch or more across. While good castagne will do for boiling and such, you will want marroni for roasting.
Pick them over carefully, taking only those that are firm and whose skins are a rich glowing brown. If they smell moldy, look blotchy, feel light, or have pin-holes, pass them by.
Before roasting the chestnuts, make a cut in the round side of each, to keep them from exploding. Out in the country people still use terracotta vessels that resemble colanders to roast chestnuts over the coals, but if you are doing them over the stove you will want a chestnut-roasting pan, which looks like a skillet with holes punched in its bottom (if need be you can make a pan youeself, by purchasing a cheap skillet and punching holes through it with a thick nail). Put the chestnuts in the pan, sprinkle them with water, cover them, and set the pan over a medium flame. Shake the pan frequently and continue roasting until the skins are blackened and have pulled back from the meat where you cut into them; this should take 5 to 10 minutes (charring means you didn't shake the pan enough). Another technique is to place chestnuts, cut sides up, on a baking sheet. Roast at 400 degree F (hot oven) until tender, about 20 minutes. Insert fork through cut in shell to test tenderness. Wrap the hot chestnuts in an old towel, squeeze them hard to crush the skins, and let them sit wrapped for five minutes. Open the towel and enjoy: