The secret to a great shrimp cocktail is to make sure that the shrimp are not soggy and full of water. When you bite them they should snap! This will separate your Shrimp Cocktail from any other that ...

Transfer the shrimp to a platter and serve with the cocktail sauce and lemon wedges. Make the cocktail sauce in a bowl, whisk the ketchup, horseradish, shallot, vinegar, lemon zest and lemon juice.