Transfer the cooled liquid to a 1-quart bowl and combine with olive oil, lemon juice, lemon zest, garlic, and cayenne pepper. Add shrimp and mix thoroughly. Refrigerate for at least one hour before cooking.
Preheat an oven to 400 degrees F, or preheat a grill.
Drain excess marinade from shrimp and discard the sliced garlic. Place shrimp on a lightly oiled baking sheet, and season with salt and freshly ground black pepper. Bake or grill the shrimp for 3 to 5 minutes, or until just opaque through. Remove pan from oven, and serve either hot or cold with Romesco Sauce.
Yield: 6 servings
Suggested Wine Pairings: Champagne, Riesling, Roussanne, Gewurztraminer, Vouvray