Bring a large pot of salted water to a boil
Add lemon slices, bay leaves, and optional peppercorns to the water
Add the shrimp and cook until pink and opaque, about 2 to 3 minutes
Drain the shrimp immediately
Transfer the shrimp to an ice bath to stop the cooking
Chill the shrimp completely
Peel and devein if needed, leaving tails on for serving
Serve cold with cocktail sauce and lemon wedges