To make cleanup easier, bake in a disposable foil pan. If you transport the lemon wedges in the marinade, it's okay to bake them with the shrimp.
4 pounds unpeeled, large fresh shrimp
2 lemons, cut into wedges
2 bay leaves
1 cup butter, melted
1 cup ketchup
1/2 cup Worcestershire sauce
4 garlic cloves, chopped
3 tablespoons Old Bay seasoning
1 teaspoon dried rosemary
1 teaspoon dried thyme
Place shrimp in a 13- x- 9-inch pan; top with lemon wedges and bay leaves.
Stir together butter and next 6 ingredients. Pour over shrimp.
Bake, uncovered, at 400° for 35 minutes or until shrimp are pink, stirring every 10 minutes. Discard bay leaves. Serve with bread and lemon wedges.