How to Make It
In a medium saucepan, melt the butter. Add the onion and cook over moderate heat until softened, about 5 minutes. Add the garlic and cook until fragrant, about 1 minute. Stir in the ketchup, bourbon, cider vinegar, molasses, honey, Tabasco, thyme and cayenne. Simmer over low heat, until thickened, about 40 minutes.
Transfer the barbecue sauce to a blender and puree until smooth. Season with salt and pepper. Pour 1/3 cup of the sauce into a small bowl and reserve the rest.
Preheat a grill pan. Season the shrimp with salt and pepper and brush on both sides with the 1/3 cup of barbecue sauce. Grease the grill pan with the oil. Grill the shrimp over moderate heat, turning once, until cooked through, about 4 minutes. Transfer to plates and serve with cheese grits and the remaining barbecue sauce.