First thing I thought when reading the thread title is a friend of mine who eats steamed shrimp without removing the shells. Who does that?!
Went to New Orleans and asked the hotel concierge where to go for an authentic meal. She suggested a place and said to get the BBQ Shrimp as it was a New Orleans signature dish. It's served with a ramekin of shrimp covered in a sauce, with the shells and tails still on (no heads though). So I'm attempting to peel the shrimp, getting my fingers covered in this sauce that's staining them red, not to mention the sauce was about 3 degrees below boiling, and the waiter comes by to check on us and starts laughing at me trying to peel these things. Apparently the authentic way to eat them is shell and tail and all, just chomp through the whole thing.