Cut celery into 4- to 6-inch lengths. Add celery and next 5 ingredients to shrimp. Squeeze lemon wedges over top, reserving wedges, and toss. Place reserved lemon wedges on top, and dot with butter.
Broil mixture 5 inches from heat (with electric door partially open), stirring often, 5 minutes or until shrimp just begin to turn pink. Reduce temperature to 350°, and bake, stirring often, 20 to 25 minutes or until shrimp turn pink. (Do not overcook.) Serve with French bread.