Grilled shrimp cocktail is a festive and easy-to-make apppetizer for entertaining. The dipping sauce gets its invigorating flavor from horseradish and fresh orange juice.
In a bowl, mix orange juice, orange zest, sour cream, vinegar, and horseradish; stir to combine. Season to taste with salt and pepper. Cover orange-horseradish sauce, and chill at last 1 hour, or overnight.
Heat grill or grill pan to medium-hot. Drizzle shrimp with olive oil, and toss to coat. Arrange shrimp on grill, working in batches if necessary. Grill until pink and developing golden-brown marks, about 3 minutes per side. Remove from heat. Serve shrimp with orange-horseradish sauce.