1⁄2 cup extra-virgin olive oil, plus more for brushing
2 teaspoons finely grated lemon zest
1⁄4 cup fresh lemon juice
6 garlic cloves, thinly sliced
6 small jarred or dried Calabrian chiles, minced, or 2 teaspoons dried cayenne/chipotle peppers
Jumbo shrimp, shelled, deveined, with tails intact
Slices of bacon, cut in half crosswise
In a large baking dish, whisk oil with the zest, lemon juice, garlic and chiles/pepper.
Wrap each shrimp with a piece of bacon and add to the marinade. Cover and refrigerate for 1 hour; turn the shrimp halfway through marinating. Do not marinate longer than an hour.
Light a grill or preheat a grill pan; brush with oil. Season the shrimp lightly with salt and pepper. Grill over high heat, turning once, until the bacon is browned and the shrimp is just cooked through, 4 to 6 minutes. Transfer the shrimp to a platter and serve with the cocktail sauce and lemon wedges.