Thaw shrimp, if frozen. Peel and devein shrimp, leaving tails intact. Rinse shrimp and pat dry with paper towels. In a 6- to 8-quart Dutch oven combine water, onion, celery, Old Bay seasoning, Cajun seasoning, and, if desired, cayenne pepper. Cover and bring to boiling.
Add potatoes and return to boiling; reduce heat. Simmer, covered, for 6 minutes. Add corn pieces; return to a simmer. Cook, covered, for 5 minutes more. Add shrimp and sausage; return to a simmer. Cook, covered, for 2 to 3 minutes more or until shrimp are opaque and potatoes are tender, stirring occasionally.
Carefully drain in a large colander or remove the food using a large slotted spoon. Discard onion wedges and celery. Serve shrimp, sausage, and vegetables, if desired, with Cocktail Sauce and hot pepper sauce. Makes 6 (4 pieces potato, 2 pieces sausage, 2 pieces corn, and three shrimp each) servings.
Cocktail Sauce: In a bowl, combine chili sauce, ketchup, onion, cider vinegar, prepared horseradish, and garlic, minced. Cover and refrigerate for up to 1 week. Makes about ¾ cup.