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Mix your cocktail sauce ingredients together in a bowl then taste and adjust your seasonings if needed. Cover the bowl and place it in the fridge until you're ready to serve. (I would suggest starting with 1 tablespoon of horseradish and tasting it before adding the second tablespoon.)
Turn your oven on to 400 degrees and line a large baking pan with parchment paper.
Next (if using frozen shrimp) thaw your shrimp completely and add them to a large bowl. Then spray your shrimp with cooking spray or toss them in 1 tablespoon of olive oil until they're completely coated. Add your salt, pepper and lemon zest and toss again.
Then spread your shrimp out on your prepared pan and make sure none are overlapping. Place the pan in the oven and cook for 8-10 minutes or until the shrimp turn opaque and are cooked all the way through.
Once the shrimp are done cooking, transfer them to a bowl, cover it and let them chill in the fridge for at least 1 hour to overnight.
When you're ready to serve, arrange your chilled shrimp on a tray next to your cocktail sauce and serve with extra lemon wedges on the side.