Cut the shell along the back of each shrimp using small scissors. Leave the shell and tail on. If needed remove the vein. Place aside.
In a large pot, Add Old Bay seasoning, pickling spice, lemons, garlic, salt and 8 cups water. bring to a boil uncovered for about 5 minutes on high heat.
In a medium bowl, add barbecue sauce, ketchup, horseradish, lemon juice, and Worcestershire sauce. Cover the bowl and place in the refrigerator for later use.
Stir shrimp in boiling water cook and stirring continually for about 3-4 minutes or until shrimp turn opaque.
Transfer the shrimp to a rimmed baking sheet using a slotted spoon. Spread the mixture evenly in a dish. Let the mixture sit until it is cool enough to touch. This will take about 20 to 30 minutes.
Serve the shrimp with dipping sauce and lemon halves. If you want to store the shrimp and sauce, you can keep them in separate airtight containers in the refrigerator for up to 3 days.