Prepare shrimp: Hold each shrimp, leg side up, and peel shell from inside curve, leaving tail intact. To devein, gently run a paring knife along center of outside curve from head to tail, exposing vein. Remove vein; rinse shrimp.
Fill a large pot with 4 quarts water; add lemon, bay leaves, and salt. Cover; bring to a boil. Reduce heat; simmer 10 minutes. Return to a boil. Add shrimp. Cook until bright pink and opaque, about 1 minute 45 seconds.
Use a slotted spoon to transfer shrimp to a wire rack set over a rimmed baking sheet; cover with ice, and let cool, about 5 minutes. (To store, fill a bowl 3/4 full with ice. Put shrimp in resealable plastic bags. Place atop ice; cover with more ice. Refrigerate up to 1 day, replenishing ice as needed.)