As much as I like shellfish, I don't eat baked scallops very often. I'm not sure why - I like scallops, but I think I've only had them baked once. I typically consume scallops in soups, pasta dishes, or just quickly seared with a side of broiled vegetables. Scallops are listed as a "best choice" and "good alternative" by Seafood Watch. (Yes, I'll probably mention them anytime I mention seafood.)
If you're interested in celebrating National Baked Scallops Day, try this highly rated recipe from AllRecipes. Want to know how to buy fresh scallops? Chef Smarty Pants has a really nice video about buying fresh scallops. Although, I don't recommend poking scallops in the store - I don't think the store would take too kindly to you feeling up all their scallops in order to find the freshest. So really pay attention to the part where she talks about gauging freshness based on color.
Interested in nutrition info about scallops? Livestrong has a good primer; however, take note it doesn't mention anything about baked scallops. After all, adding butter and breading to anything is cause for that food item to lose its place in the "good for you" category.