Combine flour, sugar, salt, water, egg, and 2 tablespoons oil in a large mixing bowl. Stir briskly until smooth. Dip shrimp in batter.
Fry shrimp, a few at a time, in deep hot oil (375°) until shrimp float to the top and are light brown. Drain on paper towels.
Remove to a warm serving platter, and serve immediately with cocktail sauce.