While I love to buy deveined and shelled shrimp from my fishmonger, it's more affordable to buy the shrimp with the shell still intact. Thus, I normally remove the shells myself. Then to get more bang for my buck, I use them to make fish stock.
It's very simple: Instead of discarding the carcasses, toss in a large pot with water, herbs, and aromatic vegetables. Simmer for 30-40 minutes, skimming off the foam when necessary. Drain and pour the stock into containers for storing. The next time you want to make clam chowder or lobster bisque, you won't need to purchase fish stock! Do you save the shells of seafood to make stock?