Preheat a gas grill on the highest heat level for 10 minutes or prepare a charcoal grill.
While grill is preheating, remove the shrimp shells but leave on the heads. Butterfly the shrimp by using a knife to cut each shrimp down the middle, from the head down to the tail, halfway through but not cutting all the way through. Remove the vein, rinse off the shrimp and lightly dry off with paper towels.
Place the shrimp in a large bowl, sprinkle with all the seasonings and the oil. Mix together with your hands, ensuring the mixture evenly covers each shrimp. Using a skewer, thread it through the whole body of a shrimp, on the backside starting at the tail and securing it into the head. If using wooden skewers, can wrap them in aluminum foil to prevent burning.
Once the grill is preheated, gently place the whole shrimp on the grill and cook for 3-4 minutes on each side, or until shells turns pink and the shrimp is opaque.
Serve immediately with lemon or lime wedges and your favorite hot sauce.