This of course is my opinion but take it from someone who loves crab and eats it anytime I can.

I have tried, steaming, grilling, boiling and baking. What is the best method I have found? Is baking crab, yes baking it right there in the oven. There is a difference in baking between Snow Crab and King Crab, one is normally smaller then the other therefore cooking time will be shorter.

You can use King or Snow Crab, and you can use a baking dish or tin foil and baking sheet to house it while it is baking. You can use lemon, garlic, old bay seasoning... whatever you like or want to put over the crab to give it extra flavor do that before they go in the oven. I used a deep tin dish and wrapped them in tinfoil for extra steam, covered the crab with old bay and a lemon, garlic butter.

Preheat the oven to 375 degrees and bake them for about 25 minutes, you should be able to smell them.

Here is a full recipe for baked crab legs.