Are you talking about grilling oysters on the half shell? I've never seen oysters grilled without the shell. On the half shell recipe... Place oysters on grill over medium to medium high heat. Spoon about a tablespoon of melted butter (I use a small ladle) on each oyster. Then sprinkle parmesan cheese on each oyster. Grill for 4-5 minutes, but do not overcook. Take them off when you see the edge of the oyster start to curl and the butter bubbling. I can get about 20 on my grill. Start on one end of your grill and work your way to the other side. By the time you get them all on and add the butter and parmesan, it's just about time to take them off. Start by taking off the first ones you put on.
Also, herb or garlic butter works really well, if you can find it. I use this when I'm doing several dozen for special occasions.
I guess you could put them in that or maybe on a baking sheet. Never tried it like that, so I'm not sure how that will turn out. Seems like you wouldn't get as much of the grill flavor, tho. Hopefully others will have better ideas on how to do it without the shell.
Talking about this subject got me wanting some grilled oysters for new years day, so I called my friend at a restaurant to order some. They do a lot of grilled oysters so I asked her advice. She suggested not doing them directly on the grill since they would probably stick and be hard to put anything on them due to flare ups. Said putting them in some sort of shallow pan would work. You can add the butter and parmesan and let them cook in that. Also suggested doing a rockefeller or bienville style oyster. If you like spinach, you could saute` onions and garlic in butter, then add spinach and seasoning. Let mixture cool, top each oyster and sprinkle parmesan on top. The bienville style would be a shrimp/crawfish/crabmeat (doesn't have to be all 3) mixture. Saute` onions and garlic in butter, then add the minced seafood, seasoning, and bread crumbs. Cool and top each oyster.