2 lbs. (about 15) large head-on, shell-on shrimp
1⁄4 cup peanut oil
3 tbsp. fresh lemon juice
3 tbsp. fresh lime juice
1 tbsp. minced fresh cilantro
6 cloves garlic, minced
5 red Thai chiles, stemmed, seeded, and minced
Kosher salt and freshly ground black pepper, to taste
Indian lime pickle or lime wedges, for serving
Working with one shrimp at a time, lay shrimp on its side. Make a 1⁄4"-deep cut along length of the shrimp on its outer side. Pull out the vein with the tip of a knife and transfer shrimp a large bowl. Repeat with remaining shrimp. Add oil, lemon and lime juices, cilantro, garlic, and chiles; toss to coat. Cover with plastic wrap and refrigerate for at least 1 hour and up to 4 hours.
Build a medium-hot fire in a charcoal grill or heat a gas grill to medium-high. (Alternatively, arrange an oven rack 4" from broiler and set oven to broil.) Transfer shrimp to a baking sheet and season with salt and pepper. Grill shrimp, turning once, until browned and cooked through, about 5 minutes. Serve with lime pickle or lime wedges, if you like.