I had a great shrimp dish at Pho Tu Do, a Vietnamese place on Bowery and Grand, just last week. I can't recall the exact name, but it was one of their shrimp over rice options. Everyone at the table commented on how perfectly the shrimp were cooked.
ruth's chris steakhouse has a grilled gulf shrimp app that's out of this world. the best shrimp are the gulf of mexico shrimp, however almost 95% of what you get in this city are frozen asian shrimp
Believe it or not, it might be the <i>fake</i> fried shrimp appetizer at Red Bamboo. I'm not just saying that to provoke; it really is good. I eat real shrimp too and I prefer Red Bamboo's.
Unfortunately the rest of their menu is hit or miss.