outstanding shrimp cocktail please
I know people will scoff at this suggestion but the shellfish cocktails at Bobby Flay's Bar Americain are outstanding. Shrimp-tomatillo, crab-coconut or lobster-avocado. Or you can do a tasting of all three. I know you asked just about shrimp, but I had to throw the other two in there because they are just so good. I have to admit I don't know if the shrimp are "fresh wild caught" as you stipulated (you can always call and ask), but they are definitely large.
The shrimp cocktail at Oceana is first-rate.
Photos of the shrimp cocktail at Oceana can be seen in this set: http://www.flickr.com/photos/11863391@N03/sets/72157624127309526/
I agree with princeofpork3 that steakhouses serve exellent shrimp cocktails.
Shrimp cocktail at Keens: http://www.flickr.com/photos/11863391@N03/4302366387/in/set-72157623279345424