Preheat the broiler. Wrap each shrimp with a bacon slice. Thread each shrimp on a small bamboo skewer and brush lightly with oil before broiling. Place skewers on a wire rack set into a foil-lined metal tray.
Broil the shrimp until the bacon gets crispy on all sides. Baste with barbecue sauce and broil for 2 minutes. Turn once and finish, another 3 to 6 minutes, or until shrimp are just cooked through. Serve warm.
Soak the skewers in water before using to prevent them from catching fire when the shrimp are cooking.
Recipe courtesy of Garde Manger, John Wiley and Sons, Inc., 2000