Peel, wash, and de-vein shrimp. Leave shell only on the tip of the tail for better handling. Butterfly shrimp (cut along the back but not straight through) to make room to insert a slice of jalapeño. Put in fridge to keep them cold while you prepare the bacon.
Cut bacon strips in half and cook to medium doneness either in pan, oven, or in microwave (cooking time depends on method of cooking and heat setting). You want them about half cooked so they are still flimsy. They will finish cooking once on the grill.
Once bacon is cooked to medium, drain on paper towels or newspaper. Insert one slice of jalapeno pepper (I use the jar kind and remove the seeds to make them milder) into the center of the back of the shrimp. Close shrimp around pepper and wrap the shrimp with one piece of bacon. I usually have a small bit of shrimp sticking out at the top and the tail sticking out at the bottom. Secure the bacon, shrimp, and pepper together by inserting a toothpick so that you have gone right through from one side of the shrimp to the other. Remember to wash up good after handling raw seafood and pork.
Cook shrimp on a medium-hot barbecue grill or gas grill, turning once or twice after 2 or 3 minutes. Once they have been turned and partially cooked on each side, baste in a nice smoky BBQ sauce and cook on each side for a further 2 to 3 minutes (or until both bacon and shrimp are fully cooked).
Sometimes we leave a few with no BBQ sauce, just to mix it up a bit. In that case, we might baste in a bit of butter just to keep the shrimp and bacon moist.
For those who do not like spicy, leave the jalapeños out or just use a tiny piece of a slice.
Note: Do not overcook these as they will get tough. Each person should get 4 shrimp each. Of course, you may serve more if you like -- we like!