Yes we did this a couple of years ago at Japan. I believe you can also do it at Downtown Disney, Typhoon Lagoon, Blizzard Beach and also at Sea World( where they have divers who go actually go down for the oyster in a huge glass walled tank). You can watch them diving through the glass wall.
My daughter picked an Oyster and she got a beautiful pale pink lustre pearl. The lady in front of us got a much larger pearl which was quite creamy yellow in colour and later, I saw a lady get a grey/black one which was so beautiful. We had ours mounted in a gold setting with a tiny diamond(cz?) above and it is really special. If your pearl is of a certain size, they bang a little drum and make an announcement to the store! I think if you wanted to try and match your "chosen" pearl for a pair of earrings, they have others ready that you can buy and they will mount for you. I guess the chances of you opning other oysters and getting 2 pearls to match, are pretty slim!
Choosing the oyster was really was quite a special thing to do. We gave the necklace to my Mother, who had been diagnosed with Cancer shortly before our vacation to WDW. She passed away a few months later and I now have the necklace to give back to my daughter when she is older.
I thoroughly recommend doing it and I don't remember the price but I know I thought that it was very reasonable (including the setting)
PS they say you should choose the ugliest looking oyster..it worked for us!