Thaw shrimp, if frozen. Peel and devein shrimp, leaving tails intact, if desired. Thread shrimp onto eight 8-inch skewers, leaving 1/4-inch space between pieces (you should have 3 to 4 shrimp per skewer). Brush lightly with some of the olive oil; set aside.
Lightly brush sweet peppers or onions with remaining olive oil. For a charcoal grill, grill shrimp skewers and vegetables on the rack of an uncovered grill directly over medium coals. Grill shrimp for 9 to 11 minutes or until shrimp turn opaque, turning once halfway through; grill peppers for 15 minutes or until charred, turning occasionally. Grill onions about 5 minutes or until limp and slightly charred, turning once halfway through. (For a gas grill, preheat grill. Reduce heat to medium. Place peppers or onions, and shrimp directly over heat. Cover and grill as above.) Wrap peppers in foil and let stand about 15 minutes or until cool and skin loosens. Remove stems and seeds from peppers. Using a sharp paring knife, peel peppers. Place shrimp skewers on a tray; cover and chill in the refrigerator 1 to 24 hours.
In a blender or food processor combine peppers or onions, sour cream, salt, and black pepper. Cover and blend or process with a few on/off turns to coarsely chop the mixture. Transfer to a small bowl. (Or, coarsely chop the vegetables. In a small bowl stir together the sour cream, vegetables, salt, and black pepper.) Cover and chill in the refrigerator 1 to 24 hours. Serve dip with shrimp on skewers. Makes 8 servings (about 1-1/2 cups dip).