Melt the butter in saucepan over low heat; add next ten ingredients. Slice lemons in rounds and remove seeds. Line the bottom of a 9x13 baking dish with lemon slices. Sprinkle lemon slices generously with cayenne pepper and black pepper. Lay shrimp, still in the shells, tightly in one layer on top of lemon slices. Pour the heated butter mixture over shrimp. Bake for 10 minutes in preheated 350°F oven; turn the shrimp over and bake 10 more minutes. Serve at once.
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