I like the pan method better, because you can start to smell them - and that means they are ready for the water. Much more control that way. Bayless does this too, and well, he's Bayless, and we're not. So..
I did make the cocktail sauce this past weekend, for my shrimp. I used about 1/2 horseradish to 1/2 Thai chili garlic paste. A little Worcestershire and a little lemon juice, and that was it. Yeah, it was spicy, but the shrimp were big and stood up just fine.
As for the shrimp, I do not boil them - ever. I roast them in the oven at 400 for about 8-10 minutes. A little oil spray and salt and pepper. They come out so much better this way, and I serve them warmish, not cold.