A marinade of lemon, garlic, rosemary, and olive oil adds flavor and juiciness to these shrimp.
Remove legs from shrimp but do not peel. Cut several lengthwise slits along inner curve of each shrimp, and insert a few small sprigs of rosemary into each slit.
In a large bowl, whisk together garlic, oil, lemon juice, and salt and pepper to taste. Toss shrimp in marinade, coating well. Add more rosemary sprigs and the lemon slices. Marinate for 1 to 2 hours.
Start a medium-size charcoal fire; when coals are medium hot, place grid as close to them as possible. Drain shrimp and grill for about 3 minutes on each side, or until opaque. Serve immediately.
Use the largest shrimp you can find -- we used U-12s, which means there are fewer than 12 per pound -- so that they remain moist and juicy.