In a glass bowl mix the olive oil, lemon juice, oregano, shallots, salt, pepper and shrimp. Mix very well so the shrimp is coated very well, refrigerate at least 30 minutes, the longer the better.
For the sauce! In a medium sauce pan add olive oil,shallots and garlic, saute' on medium for 2 minutes. Slice the Peperoncini pepper in thin strips and add to the sauce pan. You can use any type of your favorite pepper, a mild one that's sweet works the best. Now add the salt and pepper and stir for 30 seconds. Skewer the shrimp and place on grill until your desired doneness, about 2 minutes on each side.
Just before serving Heat sauce and add the parsley and balsamic vinegar and stir for 1 minute. Serve over the shrimp.