From America's Test Kitchen Season 2: Shrimp Classics
Nothing is more basic than shrimp cocktail and, given its simplicity, few dishes are more difficult to improve. Yet we set out to do just that, seeing three ways in which we might challenge tradition: work on the flavor of the shrimp, work on the cooking method for the shrimp, and produce a great cocktail sauce.
Shrimp cook very quickly, so there’s little time to add flavor to them in the pan. We based our cooking liquid on shrimp stock, easily made by boiling the shells, and added wine, lemon juice, and herbs and spices. In order to keep the shrimp in contact with this flavorful liquid as long as possible without overcooking them, we brought the mixture to a boil, turned off the heat, and only then added the shrimp; the hot liquid cooked the shrimp slowly while they absorbed flavor from the stock. Turning to the sauce, we determined that the classic base, ketchup, is the best. We added horseradish, which is the usual ingredient for spicing up the sauce, but we also included chili powder, cayenne, and lemon juice for extra spiciness.
Note: When using larger or smaller shrimp, increase or decrease cooking times for shrimp by one to two minutes, respectively.