If you see head-on shrimp in the market, don’t be afraid to buy them. Head-on shrimp retain their natural moisture better, which makes for superior flavor and texture. Head-on shrimp may seem confounding at first sight, but removing the heads (better known as ‘heading’) is easy, if a bit messy.
Buy the Best: Be sure to buy only very fresh shrimp; avoid shrimp with black dots, as these indicate bacterial growth. Choose shrimp that are firm to the touch -- not mushy or waterlogged. Let frozen shrimp defrost slowly in the refrigerator and be sure to allow the water to drain off as they defrost.