It's tempting to just jump right into the fire, but in the case of shrimp, preparation is half the battle. Where these particular crustaceans are concerned, the route to a successful meal starts at the store (for you, not the shrimp). While there are lots of things to consider, the first choice you have to make is fresh or frozen. If you have access to very, very fresh local shrimp, then go with that — otherwise, go with frozen. Shrimp have such a short shelf life that, unless you can get them within hours of being landed, the most reliable choice is in the freezer.
Buy still-shelled shrimp, as they will usually impart more flavor to the finished dish than their naked brethren. Also, be aware that although small shrimp might seem to be a better deal, their small size can make it easier to overcook. They might be superheroes, but they do have their limits. Also, it's important to defrost your shrimp fully before cooking. Shrimp, regardless of size, cook so quickly that, if the whole shrimp isn't at room temperature when you start, the outside will overcook before the inside even realizes the heat is on.
The last thing to do before cooking is a quick brining. For each pound of shrimp on the menu, mix a pinch of baking soda and a teaspoon of salt into a bowl of water, then add the shrimp, making sure they are fully submerged. Throw in the shrimp, and let sit for around an hour. Now, you are ready to cook.