I fix my bay shrimp 3 ways:
1. sauteed in butter, garlic and then add lemon.
2. on Shrimp Louis salad
3. Quickly steamed in shell and served in shell - to shell and dip in butter/garlic/lemon juice. (I just hate the clean up after cooking in shell - those feelers are everywhere and the sticky gunk on the pan is hard to get off)
But a big mess of them once or twice a winter makes winter go down easier ;o)