1. In a large saucepan, heat the oil over moderately low heat. Add the onion and cook, stirring occasionally, until translucent, about 5 minutes. Add the garlic and cook, stirring, 30 seconds longer.
2. Raise the heat to moderate and add the tomatoes with their liquid, the wine, oregano, and salt. Bring to a boil and cook over moderate heat, partially covered, stirring occasionally, until thickened, about 20 minutes.
3. Add the shrimp and pepper and bring back to a simmer. Simmer, covered, until the shrimp are just done, about 2 minutes. Stir in the cheese and 3 tablespoons of the parsley. Serve topped with the remaining 1 tablespoon parsley.
Wine Recommendation: An acidic, assertive wine such as sauvignon blanc is a natural with the feta and shrimp. Look for a bottle from New Zealand or from California.