Shrimp may be wild or farm raised—the former are always more flavorful than the latter—but almost all are frozen before sale, and this has been true for about seventy years. But shrimp freeze well and keep well; in some ways, it makes sense to buy frozen shrimp and defrost them yourself, which gives you more control than buying thawed shrimp. “IQF” (individually quick frozen) shrimp are often a good buy.
When you’re buying any shrimp, look for a firm, full shell and firm meat. The meat should not be white (that’s freezer burn) or pink, which means it has been defrosted at too high a temperature.