Grilling/broiling would be a good alternative to pan frying, as the more intense heat will crisp the skin much more effectively than baking. It is a generally healthier cooking method because the food is not sitting in oil; any fat will drip off into the grill pan.
As long as you make certain you keep the oyster whole and you keep water/liquor form the oysters, one way or the other is more or less equivalent.
The shell, at that point is just a small dish.
Lot of high end restaurants (L'atelier Robuchon for example) will shuck the oyster and prepare them separately and then plate the dishes by placing back the prepared oysters on the cleaned shells for presentation; this help them perfectly prepare the oyster.
Lot of restaurants will also shuck the oyster and just add some ingredients directly on the shell with the oyster before steaming (or broiling)