Preheat the oven to 400 degrees F.
Peel and devein the shrimp, but leave the tails on.
Place them in a single layer on a sheet pan and mix with the olive oil, salt, and pepper.
Roast in the oven for 8 - 10 minutes, or just until they turn firm and pink.
Allow to cool slightly and serve with cocktail sauce.
You can also refrigerate and serve later.