Royal Red shrimp ($9 for 1 lb.; billys-seafood.com) lurk in deep Gulf Coast waters where few boats can nab them. In the frigid abyss, they take on the fat that makes them silky and sweet, with big, luscious heads. "They have a lobstery character," says New Orleans chef Donald Link (Pêche, Cochon). After grilling or simply boiling them, Link serves the shrimp with garlic, Worcestershire, and cayenne butter.