Heat your grill or a grill pan to medium-high heat.
Place the shrimp in a large bowl, add the lemon zest, lemon juice, garlic, and oil, and season with salt and pepper. Toss well to combine and set aside for five minutes.
Add the shrimp and halved or quartered lemon to the grill and cook for two to three minutes per side or until the shrimp are pink, and the lemons are charred and juicy.
Spicy Cocktail Sauce
Whisk together the ketchup, lemon zest, and lemon juice and add the horseradish and Worcestershire to taste.
Season with hot sauce and kosher or celery salt.
Set aside for serving.
Herby Aioli
Add the garlic into a small bowl and pour over the lemon juice. Set aside five minutes to allow the garlic to infuse into the lemon juice.
In a separate bowl, add the mayonnaise, Dijon, and herbs and strain over the lemon juice, discarding the garlic. Mix well to combine, then season to taste with salt and pepper.
Set aside for serving.
Marie Rose Sauce
Combine the Herby Aioli and Spicy Cocktail Sauce to taste.
Set aside for serving.
Serve
If serving the shrimp hot, transfer it from the grill onto a serving platter and serve with the sauces. Enjoy!
If serving cold, chill in the fridge and serve over ice with the sauces. Enjoy!