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Cook's Note: You can buy large, frozen tiger shrimp that have been deveined but are still in the shell.
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If you use these, thaw them according to the package directions.
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If using fresh shrimp, you can ask the person at the fish counter to devein them for you in the shell.
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You can also do this yourself: Using kitchen shears, cut the shell along the vein and pull the vein out with your fingers.
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Or, you can just skip the deveining process.
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The vein won't hurt you.
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Combine 3 tablespoons of the chili powder and 1 tablespoon of the salt in a small bowl.
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Rub the shrimp with this mixture, making sure you rub some into the open cut where the shrimp as been deveined (if applicable) to season the shrimp inside the shell.
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Place the shrimp in a shallow, non-reactive pan, cover with plastic wrap and refrigerate while you make the sauce.
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In a saucepan set over medium-high heat, melt the butter.
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Add the onion and garlic and cook for 3 to 5 minutes, until soft, but not browned.
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Add the ketchup, oil, brown sugar, Worcestershire sauce, lemon, lemon juice, bay leaves, oregano, thyme, and cayenne, as well as the remaining 2 tablespoons chili powder and 2 teaspoons salt.
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Stir to mix.
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Reduce the heat to a simmer, and cook, covered, stirring occasionally, for about 20 minutes, or until thick.
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Remove from the heat, uncover, and cool to room temperature.
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Remove and discard the lemon slices and bay leaves.
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Pour 1 1/2 cups of the sauce over the shrimp.
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Toss to coat well.
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Cover and refrigerate the shrimp for 1 to 2 hours.
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Cover and refrigerate the remaining sauce separately and save for dipping.
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Prepare a charcoal fire or preheat a gas grill for direct grilling over high heat.
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While the grill is heating, reheat the remaining sauce in a small, covered saucepan over very low heat, it will only take a few minutes.
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Watch the sauce carefully so that it doesn't burn.
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Remove the shrimp from the pan and discard the marinade.
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Grill the shrimp for 2 to 3 minutes per side, until the shells are orangey-pink.
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To test for doneness, take a shrimp off the grill, remove the shell and cut the shrimp in half: The flesh should be white and firm throughout.
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Serve with the warm sauce for dipping, and a large bowl for the shells.
