I first began cold smoking using salmon (home-cured), but this is also one of my favorite ways to eat raw oysters. The process is quite simple. Obviously, you'll want to make sure to keep the temperature in the smoker down, either by using indirect smoke, or by using a very small amount of charcoal and keeping a good distance between the heat source and oysters.
I use a water smoker and put a big chunk of ice in the water bowl. One thing I've figured out by trial and error is that one can get better results by placing the oysters in a pan in their own liquor, making sure there's enough liquid to cover the oysters, and that there's a bit of space between each one. Throw a handful of ice cubes in, which will keep the oysters cold throughout the smoking process. The smoke will permeate the liquid and the oysters should pick up a nice flavor ... you really don't need that much to make a difference. I've smoked them for as little as an hour, and as much as two, and have tried several woods, including pecan, alder and hickory. I think the alder wood gives an especially nice flavor, but they're all good. Someone once told me that pecan isn't any good for seafood, but I've not found that necessarily to be the case.
In terms of serving suggestions, I think it goes very nicely with just a bit of lemon, or a good mignonette. I've also served them as an appetizer, over a salad of jicama, avocado, red peppers and corn, seasoned with a little bit of lime, rice wine vinegar and a squirt of agave.
Heat-smoked oysters is another favorite, but I'll leave that for another post.