Of the hundreds of varieties of shrimp, we are likely to encounter only a dozen or so. Most shrimp nowadays are farmed, which has made them much less expensive than in years past. Depending on how they are farmed, they can be as flavorful as wild, but wild gulf shrimp, usually sold as “pinks,” “whites,” or “browns,” are the most consistently tasty. Most U.S. markets, with the exception of Asian markets, sell shrimp with their heads removed. That’s a pity, because the heads contain the tastiest parts, which can be sucked out when the heads are twisted off, or you can use the heads to flavor soups, stews, and sauces. The shrimp meat itself provides little flavor to any surrounding liquid.