We usaully buy them by the bushel. They come in a big ole burlap sack unwashed. I usually take the bag dump them on the driveway hose them off put in the back in the cooler. Then we just heat up the grill and throw them on. They start to open after a few minutes. I like them more on the raw side so i eat them as soon as the start to open others let them cook much longer. We also throw them on the grill and as soon as they start to open we shuck some and dress them with blue cheese or spicanch and arichoke dip and put them back on the grill.
My brother lives on the coast so we get the sacks but here in metro atlanta a few suppliers sell boxes of washed oyster which work out well they just cost a few bucks more.
Although we do grill them a good oyster knife/shucker is still helpful. Google Carolina Oyster Knife. These are my favorite. I use old rags/towels to lift and shuck the oysters after grilling. Also if you have an old grill grate use it for the oysters instead of your nicer grates.