Soak round wooden picks in water 30 minutes.
Peel shrimp, leaving tails on; devein, if desired. Set shrimp aside.
Cut each pepper lengthwise into 8 pieces; remove seeds.
Toss together shrimp, jalapeño peppers, olive oil, salt, and black pepper in a large bowl. Set aside.
Microwave bacon slices on HIGH 30 seconds.
Wrap 1 bacon slice half around 1 shrimp and 1 piece of jalapeño pepper. Secure with a wooden pick. Repeat procedure with remaining bacon slices, shrimp, and jalapeño pepper pieces.
Grill, without grill lid, over medium-high heat (350° to 400°) for 4 to 6 minutes or until shrimp turn pink, turning once.