1. Preheat oven to 450°. Peel and devein shrimp, leaving tails on. Combine canola oil and next 7 ingredients in a zip-top plastic freezer bag. Add shrimp; seal and chill 30 minutes, turning once.
2. Meanwhile, arrange bacon in a single layer in a 15- x-10-inch jelly-roll pan. Bake at 450° for 6 to 8 minutes or just until bacon begins to brown. (Bacon will be partially cooked, not crisp.) Remove from pan, and drain on paper towels. Reduce oven temperature to 400°.
3. Place a lightly greased wire rack in an aluminum foil-lined 15- x 10-inch jelly-roll pan. Remove shrimp from marinade; discard marinade. Wrap 1 bacon piece around each shrimp, and secure with a wooden pick threaded through both ends of shrimp. Arrange shrimp in a single layer on wire rack.
4. Bake at 400° for 8 to 10 minutes or until bacon is crisp and shrimp turn pink. Serve immediately.