Halve the lemons crosswise and remove the seeds. Place the lemons in a glass baking dish and drizzle with the olive oil. Turn cut-side down and roast until tender and slightly golden, 25 to 45 minutes, depending on size; let cool.
Squeeze the juice and pulp into a small bowl. Add any juice from the baking dish along with the honey and salt. Whisking constantly, slowly add the extra-virgin olive oil. Drizzle the vinaigrette over shrimp or vegetables.