How to Make It
In a large pot, combine the water, vinegar, lemon slices, garlic, Old Bay Seasoning, peppercorns, 1/2 teaspoon of the salt, 1/4 teaspoon of the cayenne, and the bay leaves. Cover and bring to a boil. Reduce the heat and simmer for 5 minutes.
Add the shrimp to the pot. Cover and bring back to a boil. Then continue boiling, partially covered, until the shrimp are just done, 1 to 2 minutes. Drain.
In a small stainless-steel saucepan, melt the butter. Remove the pan from the heat and add the Worcestershire sauce, the lemon juice, and the remaining 1 teaspoon salt and 1 teaspoon cayenne. Divide the sauce among four small bowls. Serve the shrimp with the butter dipping sauce.