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1. Thaw shrimp, if frozen. Peel and devein shrimp, leaving tails intact (if desired). Rinse shrimp; pat dry with paper towels. Thread shrimp onto small wooden* or metal skewers, leaving 1/4 inch between pieces. Lightly brush shrimp with some of the oil; set aside.
2. If using sweet peppers, halve peppers lengthwise and remove stems, seeds, and membranes. Lightly brush sweet peppers or green onions with the remaining oil.
3. For a charcoal grill, grill shrimp skewers and sweet peppers or onions on the rack of an uncovered grill directly over medium coals until shrimp are opaque and sweet pepper is charred or onions are limp and slightly charred, turning once halfway through grilling. Allow 9 to 11 minutes for shrimp and about 15 minutes for sweet peppers or about 5 minutes for onion. (For a gas grill, preheat grill. Reduce heat to medium. Place shrimp skewers and sweet peppers or onions on grill rack over heat. Cover and grill as directed.)
4. Immediately wrap sweet peppers in foil; let stand about 15 minutes or until cool. Place shrimp skewers in a shallow dish. Cover and chill for 1 to 24 hours.
5. Using a sharp knife, gently peel off skins from sweet peppers and discard. For dip, in a blender or food processor combine sweet peppers or onions, sour cream, salt, and black pepper. Cover and blend or process with on/off pulses until mixture is coarsely chopped. Transfer to a small bowl. Cover and chill for 1 to 24 hours. Serve shrimp skewers with dip.