Preheat oven to 350°. In a Dutch oven, saute scallops, onion and celery in butter until scallops are firm and opaque. Stir in flour until blended. Add cream. Bring to a boil; cook and stir 2 minutes or until thickened. Reduce heat; add cheddar cheese, sherry, salt and cayenne, stirring until cheese is melted. Remove from heat; set aside.
In a greased 11x7-in. baking dish, layer the shrimp, crab, artichokes and water chestnuts. Top with sauce. Sprinkle with almonds and Parmesan cheese.
Bake, uncovered, 25-30 minutes or until heated through. Let stand 10 minutes before serving.