- 1. Preheat oven to 400 degrees. Line a baking sheet with aluminum foil. Line another baking sheet with parchment paper or Silpat.
- 2. Lightly sprinkle shrimp with salt and pepper. In a large heavy skillet over medium high heat, add olive oil and heat to "shimmering." Add shrimp to hot oil and cook for 1 to 2 minutes - no longer! Remove shrimp to paper towels to drain.
- 3. Place a flat rack in the baking sheet with the foil. Lay bacon over rack and bake until partially cooked, but still limp, about 8 to 10 minutes. Let bacon cool on rack. Cut each slice in half crosswise.
- 4. Using a sharp paring knife, make a slit in back edge of each shrimp. Place a small slice of cheese in slit. Wrap each with a half slice of bacon and secure with a toothpick. (Can be made ahead up to this point. Refrigerate until ready to continue.)
- 5. Place stuffed, bacon-wrapped shrimp on parchment-lined baking sheet. Place in preheated oven for 5 to 8 minutes, or until cooked through and hot.
- 6. Arrange shrimp on a serving platter & sprinkle with cilantro and garnish with lime slices. (A bowl of your favorite rice and a simple avocado/red onion salad make great accompaniments.)