Peel shrimp and reserve shells. Sprinkle shrimp with 1 TBS of Creole seasoning and half of the pepper. Coat well and refrigerate on baking sheet, uncovered.
Heat water or broth until boiling. Add grits and simmer for 30-40 minutes, adding more liquid as needed.
In large saucepan heat 1 TBS oil over moderate heat until hot but not smoking and saute onion and garlic for 1 minute. Add shells, remaining 1 TBS Creole seasoning, bay leaves. Add zest from lemons, then halved lemons, water, Worcestershire, wine and remaining pepper. Bring to a boil, stirring and simmer for 30 minutes. Let sauce cool for 15 minutes, strain through fine sieve into small saucepan and boil for 15 minutes or until reduced to about 1/4 cup.
In large skillet, heat 1 TBS oil until hot and sear half the shrimp for 1 minute on each side and transfer to bowl, saute remaining shrimp, adding additional 1 TBS oil if necessary. Stir cream and barbeque sauce into pan and simmer for 10 minutes (or until reduced to about 2 cups). Stir in shrimp and heat through. Stir in butter and serve over grits. Serves 4.
*The seasoning recipe makes enough to do this dish several times - refrigerate remaining spices.