Select Fresh Shrimp: Before you start ... Shrimp with shells often have a more intense flavor, while peeled shrimp are easier to prepare. Remove the Head: If you've bought shrimp with heads ...

To keep things easy, purchase fresh shrimp already peeled and deveined. Look for firm-fleshed shrimp with a fresh saltwater scent; avoid shrimp that are soft, slimy, or smell especially fishy.