Cut the bacon pieces in half and wrap each scallop with a piece of bacon. It may not reach all the way around on some of the larger scallops, but don't worry about it, because a skewer will keep it in place.
Thread 3-4 bacon-wrapped scallops onto a flat metal skewer piercing the bacon to keep it in place. Sprinkle olive oil, salt and pepper and lemon juice on the scallops.
Grill over a hot charcoal fire or a gas grill until the bacon is cooked, about 5-7 minutes each side.
Quickly saute the spinach while the scallops are grilling. This should take just a few minutes. Lightly salt the spinach and add a few grinds of fresh black pepper. Drain any water off the spinach before serving.
You want the scallops to be sort of medium-rare in the center. Remove from the grill and serve over sauteed spinach with a side of apricot-horseradish sauce.
In a small bowl, stir together the apricot preserves or jelly with the horseradish and lemon juice until combined. Taste to see if it needs any more horseradish or lemon juice to balance the flavors. You want this sauce to have some horseradish kick to it, but just enough and not too much, so balance here is critical.
Top with a few grinds of fresh black pepper and serve with the grilled bacon-wrapped sea scallops over sauteed spinach.