Special equipment: sixteen 8-inch wood skewers and a deep-fry thermometer
Put a medium bowl in the freezer. Put a wire rack on top of a rimmed baking sheet and set near the stovetop where you will be frying.
For the blue cheese dressing: Whisk together the mayonnaise, blue cheese, half-and-half, sour cream, lemon juice and 1/4 teaspoon salt in a medium bowl until smooth. Refrigerate until ready to serve.
For the butter-hot sauce: Combine the butter and hot sauce in a small microwave-safe bowl and microwave until the butter melts, 1 to 2 minutes. Stir to combine and set aside.
Meanwhile, for the shrimp tempura: Pat the shrimp completely dry with paper towels. Cut small 1/4-inch diagonal slits on the underside of a shrimp, then flatten to make it lie straight. Thread a skewer trough the length of the shrimp. Repeat with the remaining shrimp. Refrigerate to chill the shrimp for at least 10 minutes before frying.
Fill a large heavy-bottom pot with 2 inches of oil, attach a deep- fry thermometer and heat the oil to 375 degrees F.
Right before you are ready to start frying, whisk together the seltzer and egg yolk in the cold medium bowl from the freezer. Add 1/4 cup ice. Add the flour and whisk gently 9 to 10 times then put the whisk down! You want the batter to be clumpy to help add extra crispiness to your shrimp (see Cook's Note).
Dip batches of the shrimp into the batter while holding the end of the skewer. Coat completely, letting any excess drip back into the bowl. Slowly lower the shrimp into the hot oil using tongs. Fry until puffed and golden, 2 to 3 minutes. Remove with a slotted spoon, transfer to the rack on the baking sheet and sprinkle lightly with salt while still hot. Be sure to bring the oil back up to 375 degrees F between batches.
Serve with the blue cheese dressing, butter-hot sauce, carrot and celery sticks.
Good tempura batter is all about cold ingredients like seltzer, ice and even the ingredient you're frying-- shrimp in this case. Take care not to overmix the batter and remember that lumps are a good thing!
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