Step 1

Preheat the oven to 400F.

Step 2

In a large ovenproof skillet over low heat, melt the butter with the olive oil.

Step 3

Add the Worcestershire sauce and garlic.

Step 4

Add salt, black and cayenne peppers, bay leaf, thyme, rosemary, oregano, hot sauce, and lemon slices.

Step 5

Add the shrimp. Stir to coat well with the sauce. Place in the oven and bake.

Step 6

Baste with the sauce, occasionally, for 20 minutes or until the shrimp are pink and the tails are slightly curved.

Step 7

Remove the skillet from the oven. Remove the bay leaf from the sauce.

Step 8

Spoon the shrimp and sauce into bowls. Serve with crusty baguettes or hot French bread for dipping in the sauce.