I'll eat them any way but fried. Order some frieds at a restaurant, take the batter/breading off, and look the the tiny little shrimp. Then roll the breading up in a napkin and squeeze tightly. Then unroll it and look at all of the yummy grease.
Once there it really doesn't matter; served as "bait" at the local sushi house, with cocktail sauce, in a nice scampi sauce over pasta, just off the "barbi" . . .