Peel and devein shrimp. (see "how to" page) Bring 2 quarts of water to a vigorous boil. Drop the shrimp into the water. Bring back to a boil and shrimp will be done if they are small. cook for 1 minute for medium shrimp, 2 minutes for large shrimp and 2 1/2 minutes for colossal shrimp.
Immediately plunge shrimp into an ice water bath to stop the cooking and give them the perfect texture. Drain and chill.
Traditionally, these shrimp are served with a red cocktail sauce made with ketchup, horseradish and lemon, however, it is equally good with a sauce made from mayonnaise, dijon mustard and lemon.