Preheat grill over high heat.
Place shrimp, oil, salt and pepper in a plastic gallon zipper bag. Toss until shrimp are well coated.
Grill shrimp for 3 minutes on each side until shells are pink and shrimp are opaque.
Place lemons on the grill during the last minute of the shrimp cooking.
Place cooked shrimp on a serving platter and squeeze grilled lemons over them. Serve with cocktail sauce or a homemade dip of mayonnaise, olive oil, garlic and hot sauce to taste.
Serves 4.