Put the bacon on a sheet tray lined with a wire rack and bake until crisp, about 18 to 22 minutes Remove the bacon from oven, allow to cool and then crumble.
Put the eggs in a small saucepan and cover them with salted water. Bring the water to a boil over medium heat, then cover, and remove the saucepan from the heat. Allow the eggs to sit for 10 minutes. Remove eggs from pan and shock in ice water. Peel the eggs and cut in half. Remove the yolks to a medium-sized bowl. Add the mayonnaise, cayenne, mustard, horseradish, salt, and pepper. Mix until smooth and creamy. Put the mixture into a piping bag. Arrange the egg whites on a serving platter. Pipe a heaping tablespoon of the egg yolk mixture into each of the egg whites. Sprinkle each egg with some bacon and scallions. Serve.