Combine 2 quarts of water with Old Bay seasoning and bring to a boil. Turn off heat and add shrimp. Allow to cook for about 2 - 3 minutes or until the shrimp turn pink. Drain and cool to room temperature. Peel, leaving tail in tact. Remove vein along curve of shrimp.
To serve...
Place shrimp around edge of glass bowl filled with ice. Serve with cocktail sauce.