Try to purchase cooked shrimp that still have the tails on, but any cooked shrimp will do. If still in their shells, peel the shells and leave the tail attached to act as a handle. Rinse the shrimp and set on a mound of ice in a bowl. Cover and refrigerate until ready to use.
Tip: Many varieties of premade cocktail sauce are available, but most can be enhanced with a few extra flavorings. Depending on your taste, add a bit of fresh lemon juice, horseradish, chopped onion, capers, Tabasco sauce, or other seasonings to brighten the flavor.
Serve the sauce in individual small cups or bowls, hanging the shrimp around the rim for dipping into it.