Butterfly shrimp by slicing almost through lengthwise, but leave shell on shrimp. (This will keep the shrimp tender while grilling.)
Brush shrimps with oil, season with salt and pepper.
Grill shrimp for 2 minutes on each side, until shells are hot pink and shrimp is opaque. (They will continue to cook off the grill so do not over cook!)
Place lemons on the grill, cut side down, for the last minute. The heat will release the juice from the lemons. To serve, squeeze grilled lemon wedges over shrimp.
Serve alone, with cocktail sauce, remoulade, or chimichurri sauce.