Pat shrimp dry with paper towels. Arrange the shrimp on a rack set over a baking sheet and place in the refrigerator, uncovered, for 1 hour to allow the shrimp to dry completely. (This step is optional, but produces a great pop of flavor and moisture to the cooked shrimp.)
Preheat the grill to high heat.
In a medium bowl, toss the shrimp with the olive oil, salt and pepper. Thread the shrimp onto wooden or metal skewers, poking the skewers through both the head and tail of each shrimp.
Grill the shrimp until just cooked through, about 1 minute per side. Do not overcook!
In a small bowl, combine the melted butter and lemon juice. Brush over the shrimp.