I love shrimp, but I'm not a big fan of cold shrimp. It's just too boring for me (and cocktail sauce does nothing for me).
I really like to do a shrimp scampi type dish. I mix it up. I saute the shrimp briefly, just to heat them up. I like to use non-stick spray instead of oil. I've found that butter flavored non-stick spray really does add a bit of butter flavor to the dish. I like to use Mrs. Dash, minced onion (or powder), minced garlic (or powder) and Parmesan cheese (that one's probably loaded with fat and calories but oh so yummy).
I just saute it all for a couple of minutes and serve it over pasta. We love it. My husband has always liked shrimp scampi but never orders it in a restaurant because it's almost always cooked with wine. (He's a recovering alcoholic, and it's a myth that the alcohol cooks off so he never orders anything with alcohol in it.)