Bring water, milk, or broth to a boil
Whisk in grits slowly
Reduce heat to low
Cook, stirring often, until thick and tender
Stir in butter, salt, and cheese if desired
Pat shrimp dry
Season shrimp with salt, pepper, and paprika or Cajun seasoning
Cook bacon or sausage in a skillet if using
Remove cooked meat and reserve drippings
Sauté onion, garlic, and bell pepper in the drippings or butter
Add shrimp to the skillet
Cook shrimp 1 to 2 minutes per side until pink and opaque
Add lemon juice, hot sauce, or parsley if desired
Spoon grits into bowls
Top with shrimp and pan sauce
Serve immediately