In a large pot, combine water, onion, celery, bay leaves, and 3 tablespoons of fresh lemon juice. Bring the liquid to a boil and add the unshelled shrimp. Simmer for 5 minutes, then remove the pot from the heat. Let shrimp cool in the liquid. Drain the shrimp and shell and devein them.
In a mixing bowl, cream the butter with an electric hand mixer or whisk, and thoroughly blend in the bread crumbs and sour cream. Slowly beat in the parsley, crushed garlic, salt, Worcestershire sauce, steak sauce, black pepper and juice of 1/2 lemon.
Arrange the shrimp in the bottom of 6 (5 ounce) ramekins and cover them with the butter mixture.
Bake in preheated oven until tops are lightly browned, about 10 to 15 minutes.