For grilling, I usually use large shrimp (26-30 size), frozen, peeled, tail off or on (doesn't matter). This is a nice size to thread on skewers. Jumbo shrimp also work well, they just take longer to cook and the flavor of the marinade isn't as prominent. I always opt for frozen shrimp because it tastes more fresh. Most "fresh shrimp" at the butcher counter is just thawed shrimp that was previously frozen and isn't actually as fresh.