Bring water and seafood seasoning to a boil in a large Dutch oven; add shrimp, and return to a boil. Reduce heat, and simmer 3 minutes. Drain well, reserving liquid; rinse shrimp with cold water. Peel and devein shrimp; chill until needed.
Melt bacon drippings in a 10- quart stock pot over low heat; add flour, stirring until smooth. Cook 1 minute, stirring constantly. Add onion, and sauté until tender. Add okra and ham; cook over medium heat, stirring constantly, 10 minutes. Add next 10 ingredients; mix well. Pour 6 cups reserved shrimp liquid into gumbo; simmer, uncovered, for 1 hour, stirring occasionally (add additional water, if necessary). Add shrimp, and cook an additional 20 minutes.
Remove bay leaves; spoon gumbo into individual soup bowls over rice. Serve immediately.