As someone who has introduced many an unexpecting-visitor to a plate of these specialities, I have never cooked them. Don't think I want to handle them. But this looked interesting.
http://paulie.hubpages.com/hub/Rocky_Mountain_Oysters

Yes, deep fried is the way to go. Maybe try a tempura batter. You do want to taste the, uhm, oysters.

Yeesh! You're braver than I am, that's for sure! :) I did find this recipe though: http://deep-fried.food.com/recipe/rocky-mountain-oysters-28386