Learn how to marinate shrimp for grilling with this easy marinade that makes your shrimp so yummy you don't even need cocktail sauce. Don't let the cayenne pepper scare you — you don't even taste it. My young kids love it. It is also a big hit with company and easy to prepare. I make this with frozen or fresh shrimp and use my indoor electric grill if the weather is not good for outdoor grilling. Try it with a salad, baked potato, and garlic bread.