With its tangy remoulade sauce, a cornmeal-crusted shrimp po'boy is a taste rightout of Louisiana's French Quarter.
Make shrimp: Season shrimp with 1/2 teaspoon salt and 1/4 teaspoon pepper; set aside. Whisk together flour and cayenne in a small bowl; season with salt and pepper. Whisk together egg and 2 tablespoons water in a second small bowl. Put the cornmeal in a third small bowl. Set aside.
Pour peanut oil into a medium saucepan to a depth of about 3 inches. Heat over medium heat until a deep-fry thermometer registers 365 degrees. Working in small batches, dredge shrimp in flour mixture and then egg wash; lightly dip in cornmeal to cover completely.
In small batches, fry dredged shrimp, turning once, until golden, about 3 minutes total. Transfer with a slotted spoon to paper towels to drain. (Adjust heat between batches as necessary to keep oil at a steady temperature.)
Make remoulade: Blend yolks, lemon juice, cornichons, capers, herbs, anchovy fillet, 1/4 teaspoon salt, and pepper to taste in a blender until smooth. With blender running, pour in vegetable oil in a slow, steady stream; blend until emulsified.
Make sandwiches: Spread some of the remoulade on inside of baguette pieces. Line with lettuce, and fill with shrimp.
Use any leftover remoulade -- a classic French mayonnaise -- as a cold sauce for seafood or meat dishes. Note: Raw eggs should not be used in food prepared for pregnant women,babies, young children, the elderly, oranyone whose health is compromised.