Spanish Garlic Shrimp (Gambas al Ajillo)
Unless you live in a few choice locations, it's rare to find true fresh shrimp at the market. All they do is thaw some frozen, and put it in the case, where it sits until you buy it, which is why it really makes a lot more sense to purchase frozen. To thaw, run cold water into the bowl of frozen shrimp and let it sit for about 10 minutes before draining. Repeat once more.
Feel free to substitute sherry with white wine plus a pinch of sugar.
This video shows how to properly devein shrimp.