Using a pair of kitchen shears or a paring knife, cut through shell along the back of each shrimp. Devein shrimp, leaving shells on.
In a small bowl, combine lemon juice, oil, garlic, rosemary, thyme, 1 teaspoon salt, and 1/2 teaspoon pepper. Reserve 6 tablespoons lemon mixture for serving. Place shrimp and remaining lemon mixture in a resealable plastic bag; seal bag and shake to coat shrimp. Refrigerate 1 hour.
Heat grill or grill pan to high. Clean and oil grill. Remove shrimp from marinade, wiping off excess. Grill until opaque throughout, 2 to 3 minutes per side. Serve shrimp drizzled with reserved lemon mixture.
As with all seafood, using the freshest product available will ensure the best results. Cooking the shrimp with the shells on makes them amazingly flavorful: Just peel and dig in at the table.