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If you are making your own remoulade, mix all the ingredients together in a bowl and set aside for 30 minutes or so; you don't have to wait that long, but the sauce will be better over time.
Pour enough peanut oil in a large frying pan to come up about ¼ inch, and set the pan over medium-high heat until a small amount of flour sizzles immediately when you drop some in.
Mix the cornmeal, flour, Cajun seasoning and salt in a large bowl. Working with a few at a time, dredge the shrimp in the egg, then in the cornmeal-flour mixture.
Shake off any excess breading and fry the shrimp until golden on both sides, about 2 minutes total. Set the fried shrimp aside on paper towels to drain.
To assemble the sandwiches, slice the sandwich loaves almost all the way through and smear remoulade on both the top and bottom.
Lay down a layer of shredded lettuce on the bottom of the sandwich, then arrange the shrimp on top.
Lay 3-4 slices of tomato on the shrimp and press the top of the bread down on the bottom, compressing the sandwich a little.
Serve at once with hot sauce and, if you know what's good, a beer.