Cook grits and water according to package directions with 1 teaspoon salt. When grits are tender and thick, remove from heat and stir in black and cayenne pepper and blue cheese.
Mince garlic. Melt butter in a wide skillet on medium heat. Add garlic and stir 1 minute. Add shrimp, increase heat to high and cook 5 minutes, stirring occasionally, or until shrimp are opaque. Season with salt and pepper. Serve beside or over grits.