We love head-on shrimp. When we can find them, we bake the shrimp with the head still intact, then eat the shrimp by peeling the shell, ripping the head off and sucking out any juices from the head (it’s delicious). If that really isn’t something you’re in to, just buy shrimp without the head and follow the recipe below, it will still be great. For this, we did not devein the shrimp, but we are cool with that, if you want to, add in the step.