Shrimp Cocktail is such a classic hors d'oeuvre for holiday parties, but so often the shrimp is over-cooked and too cold straight from the refrigerator. I decided to try roasting the shrimp for shrimp cocktail, and I've never looked back. The shrimp takes just 10 minutes to roast and it comes out perfectly cooked and tender every time. I promise, once you try Roasted Shrimp Cocktail, you'll never make it any other way!