Rinse your chestnuts under cold water, then submerge them in a bowl of water and let them soak for 30-60 minutes.
Carefully cut an "X" on the curved side of each chestnut with a sharp paring knife (or, preferably, a chestnut knife), scoring only the shell, not the chestnut underneath.
Put all the scored chestnuts in a pot and cover them with water. Cover and bring to a boil over high heat. Boil for 3 minutes, or 5 minutes for very large chestnuts.
Remove the pot from the heat. When they're just cooled enough to handle, but still very warm, take just a few chestnuts out of the pot onto a clean kitchen towel to peel (keep any you're not working on covered with the kitchen towel), and keep the rest in the pot with the lid on to stay warm. Work through your small batch, then take out a few more. Repeat until all the chestnuts are peeled. You should be able to remove both the hard outer shell and that papery brown skin underneath.
Notes
Once peeled, you can use your chestnuts right away in your recipe. Or, to freeze them for later (which is what I do), simply place the peeled chestnuts in a zip-lock bag or freezer-proof container. Freeze for up to 1 year.