 Now, frozen shrimp, I always recommend you keep a bag on hand. I keep raw shrimp for a quick saute or poach, but I do have a bag of frozen cooked shrimp for unannounced guests or unexpected situations. You can thaw them easily under cold running water. You can serve them with a horseradish-laden cocktail sauce. And you know what? It looks beautifully elegant. It's delicious, and it's protein-packed, right?