Step 1: Marinade ... Add all the ingredients to a ziploc bag or a non-reactive (glass) bowl and mix well. Add the shrimp and toss to combine. Either close up the bag, squeezing out most of the air; or, cover the bowl with plastic wrap and refrigerate. Marinade 30 minutes, and no longer than 1 hour; as the lemon will start to cook the shrimp which you do not want.
Step 2: Mayonnaise ... As the shrimp marinates ... add all the ingredients to a bowl and mix well. Cover until ready to use. This slightly resembles a tarter sauce; but, it has more lemon and dill than the basic tarter sauce. And, this is so much better than any store bought sauce.
Step 3: Grill ... Remove the shrimp from the marinade, and set off to the side to take the chill off. Season with salt and pepper on both sides. Now, I prefer to use a grill for these - outside or inside. A inside grill works really well, and you will get some nice grill marks; but, if necessary, you can use a saute pan. I use a grill basket on my outside grill but you also skewer them too - which ever works best for you. Cook 3-4 minutes on the first side and then flip. Cook another 2-3 minutes, just until the shrimp turn pink and they begin to curl. You never want to over cook shrimp or they can get rubbery. Transfer to a bowl or platter. Serve ... These shrimp can be served hot, warm, room temp, or chilled; they are equally as good at any temperature. Serve with the sauce and ENJOY! Garnish with some lemon slices to squeeze over the shrimp.
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