Grilled Shrimp Cocktail with Yellow Gazpacho Salsa

Make Ahead Tip: Prepare through Step 1. Cover and refrigerate for up to 1 day.

Note: Shrimp is usually sold by the number needed to make one pound. For example, “21-25 count” means there will be 21 to 25 shrimp in a pound. Size names, such as “large” or “extra large,” are not standardized, so to be sure you're getting the size you want, order by the count (or number) per pound.

Both wild-caught and farm-raised shrimp can damage the surrounding ecosystems when not managed properly. Fortunately, it is possible to buy shrimp that have been raised or caught with sound environmental practices. Look for fresh or frozen shrimp certified by an independent agency, such as Wild American Shrimp or Marine Stewardship Council. If you can't find certified shrimp, choose wild-caught shrimp from North America--it's more likely to be sustainably caught.

To peel shrimp, grasp the legs and hold onto the tail while you twist off the shell. Save the shells to make a tasty stock: Simmer, in enough water to cover, for 10 minutes, then strain. The “vein” running along a shrimp's back (technically the dorsal surface, opposite the legs) under a thin layer of flesh is really its digestive tract.

To devein, use a paring knife to make a slit along the length of the shrimp. Under running water, remove the tract with the knife tip.

Tip: To oil the grill rack, oil a folded paper towel, hold it with tongs and rub it over the rack. (Do not use cooking spray on a hot grill.)