Saltine crackers, hot sauce, lemon wedges, and prepared horseradish for serving
Make the cocktail sauce: In a bowl, stir all ingredients together. Store in refrigerator for up to 5 days.
Make the sherry butter: In a small pot over medium-low heat, melt 1 tablespoon of the butter. Add garlic and shallot. Cook for 1 minute, making sure the garlic and shallot do not brown. Add remaining butter, salt, sherry, and bay leaf. Heat until butter is melted and hot. Serve immediately.
Roast the oysters: Build a fire in a grill and let it burn down to high heat. (There should be just a few flames still flaring up.) Throw on enough oysters to cover the area directly over the fire and let them cook for 3 to 4 minutes. The oysters are done when they just start to release some of their liquid and barely start to open. Use tongs to pull out oysters as they're ready. Pile cooked oysters into a bucket and pour them onto a table. Use oyster knives to open them and use the empty bucket for discarded shells. Serve with cocktail sauce, sherry butter, and other accoutrements.