Peel and devein shrimp, leaving tails intact. Rinse shrimp; pat dry. Wrap each shrimp in a piece of bacon, securing bacon by skewering shrimp with wooden toothpick (neck to tail in a half-moon).
For a charcoal grill, place the shrimp on the lightly greased rack of an uncovered grill directly over medium heat for 8 to 10 minutes or until bacon is crisp and shrimp turn opaque, turning once. (For a gas grill, preheat grill. Reduce heat to medium. Add shrimp to grill rack; cover and grill as above.)
If you like, serve with your favorite barbecue sauce. Makes 16 appetizers.