Serves 2 with leftovers
You can grill, saute, or broil these shrimp, which are still in their shells. In winter, the broiler takes only a few minutes. If you have a nice-looking cast-iron skillet, set it right on the table. Peel the shrimp at the table, which is messy but fun.
SAUCE
1. In a bowl, stir the mayonnaise until smooth. Add the capers, pickles, parsley, mustard, red onion, salt, black pepper, cayenne pepper, and lemon juice. Taste for seasoning and add more salt, cayenne, or lemon, if you like.