I would like to make my own puree and would like to know of any ways that might be recommended for cooking them first. I tried the oven once and they started exploding: Ideas?
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.
You can do them in the oven, in a skillet on an open fire, etc. The secret is properly slitting the shell so that is does not explode. They have moisture inside and will pop/explode like popcorn if you don't slit the shell.
I've been baking Italian chestnuts for years. Holding a chestnut between my forefinger and thumb, I make two long scores on the chestnut in the shape of a "+" on the bulbous (rounded) side of the chestnut about a tenth of the way through using a paring knife with my opposite hand. I then place them on the middle rack of a preheated oven (500F degrees) on a cookie sheet or stainless steel dish for 10 to 15 minutes, depending on the size of the chestnuts. *They come out perfect every time.
I've found making a large shallow "+" is better than a single deeper slice, it makes them easier to peel once cooked and less dried out.
*There are "dead" ones from time to time, but this seems to happen less with Italian chestnuts than domestic (US) ones.