Far be it from me to talk you out of shucking oysters to eat them on the half-shell. After all, raw oysters are one of my favorite things to eat. Shucking them, however, is definitely not one of my favorite things to do. While setting oysters on the grill to get them to let loose of their firm grip on their shells always carries with it the danger of one or more of them exploding, I find the strategic use of the grill lid and some head's-up caution makes the ease of eating them, as well as the lightly smoked flavor they tend to pick up, well worth the risk. Note that this method works with any type of oyster but super small Olympias, Kumamotos, or other Pacific oysters can get lost through the cooking grate - set down a piece of foil with a few holes punched in it if you want to grill particularly small oysters.
The Method: Start with a hot grill and fresh oysters. Set the oysters cupped side-down on the cooking grate. Cover the grill and cook until the oysters have opened their shells and are opaque and cooked through but not yet dried out, about 5 minutes for smaller oysters and a few more minutes for larger ones. Note that oysters will open their shells only in so much as it will be easy to lift off the top shell; they don't actively open up the way cooked mussels and clams do.
Use tongs or heavy duty oven/grilling mitts to remove the oysters from the grill. Remove the top shell and, for easy eating, run a sharp knife along the inside of the bottom shell to cut the oyster from it.