Any number of seasonings will work well with shrimp. Cajun/creole, curry, Thai, Old Bay, or plain old Season All. As mentioned, bacon is a winner and you could even drizzle on a little butter and/or lemon, to boot.
Here's a simple marinade that I use most often with pork but it works well with shrimp if you're looking for a somewhat bold flavor:
1 Tbsp freshly ground coriander
1 Tbsp freshly ground black pepper
1 Tbsp brown sugar
2 Tbsp soy sauce
Toss your shrimp with the marinade to coat. You can cook immediately or let it marinate. I've never let it go more than an hour or so.
Shrimp are quick and easy cook on the grill...but are even easier to over-cook. Pinkness is a good indicator if your marinade doesn't mask the color. You're looking to cook it to the point at which the flesh just loses its translucency. It won't stand much heat after that before it starts to toughen up.