Cocktail sauce is a kind of chilled dipping sauce served alongside seafood cocktail, like shrimp. American cocktail sauce is typically made with ketchup, prepared horseradish, Worcestershire sauce, Tabasco and lemon juice. You can swap the ketchup for tomato-based chili sauce if you want something a little spicier. Another type of cocktail sauce is Marie Rose sauce, made from ketchup and mayonnaise—but we like to put sophisticated spin on this ‘70s throwback with a little brandy and horseradish. Here, six riffs on cocktail sauce.