We love the flavor and the look of head-on jumbo shrimp,but medium shrimp can be used; just roast the dish for 15 minutes in step 4. Serve the shrimp in the skillet, and the herb's heady aroma will be part of the experience.
Make a slit along the vein of each shrimp using a sharp paring knife, cutting through the shells and slightly into the flesh to partially butterfly; devein. Combine garlic and oil in a medium bowl, slightly mashing garlic. Stir in orange zest and juice. Add shrimp. Rub marinade into shrimp to coat. Let marinate in refrigerator, covered, tossing occasionally, for at least 1 hour.
Preheat oven to 450 degrees. Season shrimp with 1/2 teaspoon salt and some pepper; toss to coat. Remove from marinade, brushing off any large garlic pieces. Strain marinade into a bowl, pressing on garlic; discard solids.
Arrange half the rosemary in a 12-inch cast-iron skillet. Place oranges on top of rosemary. Arrange shrimp on top of oranges. Tuck remaining rosemary between shrimp. Pour in reserved marinade.
Bake in upper third of oven until shrimp start to brown and are just cooked through, 13 to 15 minutes.
Shrimp can be marinated overnight.