Preheat oven to 425ºF.
Lightly grease a baking dish big enough to hold the oysters in a single layer.
In a small sauce pan melt the butter, add the shallots, parsley, salt and pepper. Cook on low heat while you are coating the oysters.
Whisk the eggs and milk together.
Dip each oyster into the milk mixture then coat in the bread crumbs. Place on the baking dish.
Evenly drizzle the melted butter, parsley and shallot mixture over the oysters.
Sprinkle the cheese evenly over the top.
Bake for 10 to 12 minutes or until golden brown. Serve lemon wedges on the side.