How to Make It
Combine oil, 6 whole garlic cloves, and Old Bay in a food processor. Process until smooth, about 30 seconds.
Place shrimp in large bowl, and add garlic marinade. Cover and chill until ready to grill, at least 1 hour and up to 1 day.
Stir together mayonnaise, ketchup, celery, horseradish, Dijon, Worcestershire, parsley, cornichon, shallot, capers, celery seeds, salt, black pepper, lemon zest, lemon juice, cayenne, and grated garlic in a medium bowl. If desired, add additional cayenne to taste.
Remove shrimp from marinade. Preheat a gas grill to high (450°F to 550°F). Grill shrimp, uncovered, until lightly charred and cooked through, about 1 minute and 30 seconds per side. Transfer grilled shrimp to a platter and serve with Comeback Sauce.