Preheat grill to high heat.
Slice shrimp almost through lengthwise to butterfly. Leave shell to keep shrimp tender while grilling. Place on the grill, brush oil and season with salt and pepper. Grill approximately 2 minutes on each side. Shells will turn pink and shrimp will be opaque.
Place lemons on grill the last minute so they will release more juice. Remove shrimp from the grill and transfer to a serving dish.
Squeeze lemon juice before serving.