Freshly shucked oysters and their liquor plus a touch of smoky bacon give this traditional Thanksgiving side tons of flavor.
Preheat oven to 375 degrees with a rack in upper third. Brush a shallow 2-quart baking dish with butter.
Cook bacon in a large skillet over medium until crisp and fat is rendered, 8 to 10 minutes. Transfer to paper towels to drain, leaving fat in skillet. Add onion and celery to skillet; season with salt. Cook, stirring occasionally, until vegetables are soft and golden in places, 8 to 10 minutes. Stir in sage and cayenne; cook 30 seconds. Add wine and boil until mostly evaporated, 2 to 3 minutes. Stir in cream and reserved oyster liquor; simmer until reduced and thickened slightly, 3 to 5 minutes. Remove from heat and stir in oysters; season with salt.
In a large bowl, toss crackers with melted butter to evenly coat. Sprinkle one-third of cracker mixture evenly in bottom of prepared baking dish. Spoon half of oyster mixture evenly over crackers. Repeat layering with another one-third of cracker mixture and remaining half of oyster mixture. Toss remaining one-third of cracker mixture with parsley; sprinkle evenly over top.
Bake until golden brown on top and heated through, 20 to 25 minutes (if top is browning too quickly, tent with foil). Sprinkle with bacon and serve immediately.