I made this during the holidays several times to rave reviews. Find the biggest shrimp possible and roast them in the oven, or in the warmer months grill them outside. I used creamed horseradish as the main pop of flavour in the cocktail sauce. I'll never buy prepared shrimp cocktail sauce again! —midnitechef
Simply clean the shrimp by removing the shell, keeping the tails on so you have a handle for dipping. I find the easiest way is to gently fold at the seam of the tail section, the connective shell structure will pop so that the body portion can be removed without ripping the tail apart. I always remove the digestive tract. Toss them in a little olive oil, salt and pepper and transfer to a baking sheet in a 400ºF oven for 10 minutes. You can flip them over after about 7 minutes but they will cook just fine on their own.
Mix the remaining ingredients in a small bowl. Keep chilled until ready to serve.