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Step 1
Preheat the oven to 450ºF/232ºC and place a wire cooling rack on a rimmed baking sheet. (A cooling rack isn’t necessary, but helps to bake all sides of the potato evenly.)
Step 2
Prick the potatoes all over with a fork (this keeps the potato skin from breaking open in the oven), then place them on the prepared baking sheet and bake for 25 minutes. Remove them from the oven, brush with melted butter or oil, and generously sprinkle with salt and pepper. Return the potatoes to the oven and bake them until they’re slightly browned, the skin is crisped and you can easily insert a knife, another 20 to 30 minutes depending on size.
Step 3
Meanwhile, bring a medium pot of water to a rapid boil over high heat, then remove it from the heat and let it stop boiling. Add the thawed shrimp, cover with a lid, and poach the shrimp until they’re pink and opaque, 4 to 5 minutes. Meanwhile, fill a medium bowl with cold water and ice. Drain the shrimp and transfer them to the ice bath, then let them sit until fully cooled. Drain and pat them dry, then remove the tails (and peel, if applicable) and cut them into ½-inch pieces. (Devaining optional.)
Step 4
In another medium bowl, combine the mayo, creme fraiche, dill, red onion, and lemon juice salt. Season to taste with salt and pepper, and more lemon juice if needed. Add the poached shrimp and stir until all the shrimp is coated. If the potatoes are still in the oven, transfer the skagen salad to the fridge to chill.
Step 5
Once the potatoes are done, make a deep cut in each both lengthwise and crosswise. Open the potatoes up like a book, then lightly fluff with a fork and sprinkle with salt. Top the baked potatoes with a generous amount of skagen salad, then garnish with salmon roe (if using), additional fresh dill, small lemon wedges, and a sprinkle of pepper. Squeeze any leftover lemon juice over top, if desired.