You can make a quick stock from the heads and shells you remove from fresh shrimp—it enhances all sorts of seafood dishes, and it's essential for any shrimp-based recipe, like the CHOW Test Kitchen's Cognac Shrimp Bisque.
You can always just simmer a heap of shells in water with a few aromatics: You'll get decent results. But for stock with deeper flavor, begin by sautéing the shells in olive oil until they turn opaque, PamelaD says on Chowhound. Then deglaze the pan with a bit of white wine, throw in half an onion, a sprig of parsley, a few celery leaves, a couple of black peppercorns, and add water to cover. Simmer gently for an hour; strain through cheesecloth. If you have a lot of shells, you can roast them in a hot oven instead of sautéing.
And if you've made the stock from the heads of the shrimp in addition to the shells, be sure to squeeze them during the straining process. There's a ton of flavor in the fat that the heads contain, JungMann says.