That's how people eat them in the FL panhandle (or they use horseradish) and they're very cheap actually. Cheaper than something like wings, which are covered in sauce too! ;P Some of the best oysters in the country come from Apalachicola Bay in the panhandle.
The hot sauce thing is just my preference...I enjoy hot sauce on simple things like pizza and fries, but lemon juice is something we commonly put on seafood. The first time someone handed me one it was on a cracker, and I loved it, so that's just how I eat them now. The texture reminds me of sushi-grade tuna when I chew them raw.