Mix the marinade ingredients together in a bowl. Add the shrimp to the marinade and toss to coat evenly. Cover and refrigerate for two hours, if time permits.
Mix the mayonnaise ingredients together, cover, and refrigerate until required.
Thread four shrimp onto each skewer and cook them on a prepared grill for 4-5 minutes on each side, turning them once. To serve, remove shrimp from skewers, if preferred, and serve with the cilantro mayonnaise.