The key to cooking most seafood is not to overcook. This is delicate food. Maine shrimp are delicate *and* small. The really little ones should only be kissed by heat; just quickly heat them through and they're cooked. Once they're no longer raw, set them aside then add to any saucey dish just before serving. They are wonderful in seafood soups and chowders. Really, they're good in any regular shrimp preparation, just as long as you adjust the cooking time and temperature to their size. And yes, they're very good raw, as scallops are. Favorite dipping sauce is just cider vinegar with lots of pepper from the pepper grinder.
It's tedious to peel a lot of little, raw shrimp, and I usually do a shrimp boil; it's quick, easy, and I'm assured of a pile of shrimp in the fridge. They're much easier to peel after they're cooked. I take a 3-quart pot and put half and half water and beer it in, salt to taste.. Add bay leaf, slices up lemon, parsley, cayenne for some heat, a hit of vinegar. Bring to a rolling boil and add the shrimp. Stir around. If they're really little ones, pick one out and taste it after that first stir. Really. Larger ones, 2-3 minutes. I test them throughout.
Chill them and serve as peel-and-eat, or peel and toss into other dishes.