For the Marinade: Combine shrimp and all marinade ingredients in a large non-reactive bowl and stir well. Marinate in refrigerator 3 - 4 hours.
For the dipping sauce: Melt butter in sauce pan. Add remaining ingredients. Keep warm.
Remove shells and devein. Skewer shrimp close together. Cook over a hot grill 2 - 3 minutes per side, basting with the marinade every 30 seconds.
Place a small individual bowl of dipping sauce on each plate for each person to dip their shrimp.
If using wooden skewers, soak them for at least 30 minute before skewering shrimp.
Use two wooden skewers for each line of shrimp.