Preheat the oven to 400 degrees F.
Place the shrimp on a lightly greased baking sheet and toss with the 1 tablespoon olive oil. Sprinkle evenly with the seasoning and arrange the shrimp in a single layer. Place the lemon halves on the baking sheet as well.
Combine the sauce ingredients and set aside. You may prepare the sauce in advance and refrigerate until ready to serve.
Bake the shrimp for 8-10 minutes or until just pink and opaque throughout. Remove from oven. When cool enough to handle, you may squeeze the lemon halves over the shrimp, if desired.
Serve hot or at room temperature using the cocktail sauce as a dip.