Bring 6 1/2 cups water to a boil; add shrimp and next 3 ingredients. Cook 3 to 5 minutes or just until shrimp turn pink. Drain shrimp, and rinse with cold water.
Peel shrimp, and devein, if desired. Place in a 13- x 9-inch dish. Top with onion slices and bay leaves.
Stir together oil and next 5 ingredients; pour over shrimp mixture. Cover and chill 4 to 8 hours, stirring occasionally. Remove bay leaves before serving.
Note: Claudia cools and serves the shrimp in an attractive ice bowl. Simply stack two bowls, one slightly smaller than the other, and weigh down the center with a heavy can. Fill the outer bowl with water and sliced lemon. Freeze. Remove the can and both bowls. Place ice bowl on a plate, and fill with shrimp.