Add the shrimp shells, garlic, parsley, peppercorns, and 3 cups of water to a medium pot. Bring to a boil over medium high heat. Reduce heat to low, and let simmer for 8 to 10 minutes.

Remove the pot from the heat. Add the shrimp, and cover tightly with the lid. Set aside for 10 minutes.

Meanwhile, prepare an ice bath by filling a large bowl with ice cubes and water. Drain the shrimp, and add them to the bowl of ice water. Remove after the shrimp have cooled a bit, about 1 minute (this helps stop the cooking process). Store the shrimp in a covered container in the fridge until chilled completely, at least 2 hours or overnight.

To make the cocktail sauce, add the ketchup, horseradish, Worcestershire sauce, hot sauce, and lemon to a small bowl. Stir until well mixed.

To serve, spoon the cocktail sauce into a small bowl. Place the bowl in the center of a platter. Arrange the shrimp around the cocktail sauce. Garnish with lemon wedges.