When grilling shrimp, whether with the shell on or off, both methods yield delicious results. It's a matter of personal preference; some savor the "peel and eat" experience by the grill, while others argue that leaving the shell on retains moisture in the shrimp. On the other hand, shrimp cooked without the shell (as I did with this recipe) will be perfectly moist cooked at high heat on the grill. Ultimately, the choice is yours!