1. Preheat oven to 400°. Stir together first 9 ingredients. Place shrimp in a broiler pan; pour lemon mixture over shrimp.
2. Bake at 400° for 35 minutes or just until shrimp turn pink, stirring every 10 minutes. Discard bay leaves. Serve with lemon wedges, French bread, and, if desired, Smoked Gouda Grits.
Note: To make ahead, stir together first 9 ingredients. Cover and chill up to 5 days. Proceed with recipe as directed.