This recipe calls for colossal shrimp, with the shell on. You can use jumbo shrimp such as Black Tiger shrimp, just cut the time down to 8-10 minutes.
Most colossal shrimp you will find will be frozen, so it's perfectly fine to use frozen shrimp - however, you definitely want to let them thaw before you begin. That way the seasoning rub won't slide right off when baking.
We are using our homemade shrimp seasoning which adds tons of flavor. However, you can substitute with store-bought seasoning or your favorite blend.