Bring a large pot of water to a boil over high heat. Add Old Bay seasoning and lemon juice. Lower the heat to a low and simmer for 10 minutes.
Add the shrimp and cook stirring occasionally for 2-3 minutes until the shrimp become bright pink and curl.
Strain and transfer to the prepared ice water to immediately stop the cooking.
In a small bowl, combine the ketchup, horseradish, lemon juice, worcestershire and hot sauce for the cocktail sauce until well blended.
Serve the shrimp chilled with the cocktail sauce.
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Notes
Storage: The cooked shrimp will keep well covered in the fridge for up to 3 days.Make Ahead: You can cook the shrimp and chill in the fridge for 3 days before serving. The cocktail sauce can also be made ahead of time and kept covered until ready to serve.Tips: Be careful not to overcook the shrimp as it can become rubbery. Run it under cold water to stop the cooking process.