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pierino is a trusted source on General Cooking and Tough Love.
Best to fry them whole and then shell them. Be sure to squeeze those delicious juices out of the head.
Rinse them in cool water, put them in a pot with no additional water, put the lid on, medium heat to steam them until they turn pink all over, then throw them on a newspaper-covered table, peel them and eat them. A little melted butter or another sauce of your choosing can't hurt to have on the table for dipping!
HalfPint is a trusted home cook.
Bay shrimp tend to be really small with very soft shell. I'm pretty sure you can toss them in a little cornstarch seasoned with salt and pepper. Then deep-fry them and eat whole.
I just saw this tasty recipe on Serious Eats - would be great! http://www.seriouseats...
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