FOR SAUCE:
In a bowl, whisk together mayonaise, horseradish, lime juice, zest,
and pepper. Cover and chill.
FOR SCALLOPS:
Put graham crackers in a resealable plastic bag and with a rolling pin
lightly crush until crumbs are course. In a bowl, stir together
crumbs and salt. Discard small tough muscle from side of each scallop
and halve any large scallops. Pat scallops dry.
In a 4-quart heavy saucepan or heavy kettle, heat 1 1/2 inches oil to
365 degrees on a deep-fat thermometer. Working in batches of 6, dip
scallops in egg to coat, letting excess drip off, and roll in crumb
mixture. Fry scallops, stirring gently, 2 minutes, or until browned
and cooked through. Transfer scallops as cooked with a slotted spoon
to paper towels to drain and season with salt and pepper.