From Serious Eats website.
Solution #5: Get Dry to Stay Moist
We like moist food. We want our shrimp to be juicy. But there's a difference between surface moisture and internal moisture. Internal moisture is what we're really after. For the exterior, we actually want the exact opposite. Browning reactions can't take place until surface moisture has evaporated, and it takes an awful lot of energy to evaporate that moisture. When you place a damp skewer full of shrimp on the grill, for at least the first several minutes, you're waiting for surface moisture to evaporate. All the while, the interiors of those shrimp are getting hotter and hotter, thus expelling more moisture, which then has to be evaporated
again, thus exacerbating the problem.
Fact is, if you want shrimp that stay moist
inside, they have to start dry
outside. Carefully blotting them with paper towels helps, but there's an even better solution. After skewering my shrimp, I lay the skewers over the edges of a baking dish so that the shrimp are completely elevated. I then place the whole thing, uncovered, in the refrigerator for an hour. Good air circulation means the shrimp dry out rapidly.
When I'm ready to grill, I brush the shrimp with some olive oil (unlike water-based liquids, oils and other fats can improve browning) and place them over the highest possible heat, pressing down on them slightly to ensure good contact with the grill grates.
Bingo.
The result is juicy shrimp with a texture that practically pops in your mouth as you bite into them, all with a sweet, richly browned crust that packs plenty of flavor. In all honesty, you don't really need much more than salt and pepper and perhaps a squeeze of lemon with shrimp this tasty...
...but who am I kidding? Garlic, parsley, and olive oil are always welcome at shrimp parties. I brushed this batch of shrimp with garlic and olive oil before grilling them, then tossed them with a bit of chopped parsley, more garlic, olive oil, and lemon after they came off the grill.
They may be shrimps, but as far as flavor is concerned, they're giants.