I'd recommend lightly frying them in butter, with shallots and some bacon.. although for how long is preference, depending on whether you like them soft or with a slight browning.
Here in Britain we tend to keep the roe on the scallop. It tastes fantastic with the simplest of accompanyments.. I'd recommend getting them with.
forgive my generalisation, perhaps you usually buy them with roe also, just whenever ive had scallops in America i've been unlucky in only getting the white flesh
Enjoy