Preheat the grill to medium-high heat. Thread the shrimp onto skewers. Sprinkle the shrimp generously with salt and pepper. Cook the shrimp on the grill for 2 minutes, flip, and then cook until pink, an additional minute. Serve with lemon wedges and the Tomato Horseradish Sauce with Lime Juice.
Tomato Horseradish Sauce with Lime Juice:
Preheat the oven to 400 degrees F.
Place the cherry tomatoes in a 13-by-9-inch baking dish. Toss the tomatoes in the olive oil, oregano and garlic. Season heavily with salt and pepper. Roast until the tomatoes are fully cooked, about 40 minutes.
Once the tomatoes are cooked, place them in a blender and process until smooth. Stir in the horseradish and lime juice. Check for seasoning and serve.