Because most shrimp is frozen soon after being caught, you’re better off buying shrimp that’s still frozen instead of shrimp that’s been thawed at the market for your convenience. Shrimp is highly perishable, and you don’t really know how long the thawed stuff has been thawed. If you buy frozen shrimp, you can thaw it yourself just before you need it. Let it thaw overnight in the fridge, or for faster thawing, take the shrimp out of its package, put it in a bowl of cold water, and let a trickle of cold water run into the bowl while excess water goes down the drain. The shrimp should be ready to cook in about 15 minutes.