Shrimp should be of a size to number 30-35 per pound. Melt the butter and oil in a flameproof baking dish. Add the garlic, herbs, peppers, bay leaves, paprika, and lemon juice, and bring to a boil. Turn the heat down and simmer 10 minutes, stirring frequently. Remove the dish from the heat and let the flavors marry at least 30 minutes. This hot butter sauce can be made a day in advance and refrigerated. Preheat the oven to 450F. Reheat the sauce, add the shrimp, and cook over medium heat until the shrimp just turn pink, then bake in the oven about 30 minutes more. Taste for seasoning, adding salt if necessary. Nathalie Dupree writes of this recipe in her book "New Southern Cooking," "Shrimp taste better when cooked in their shells because the fat under the shells preserves their flavor and tenderness. When the shells are crisp it is a pleasure to eat the shrimp with their shells on. This rich butter sauce cries out to be sopped up with crusty bread once the shrimp are gone."