Shrimp! The best and easiest shrimp ever! My recipe for Key West Shrimp! Peal and wash shrimp. Put on skewers. Coat lightly with olive oil. Sprinkle heavily with Cajun Seasoning (at the store – called Cajun Seasoning). Grill shrimp until done. Squeeze lime onto shrimp while grilling. Everyone says these are the best shrimp they have ever had. Enjoy!