Shell, clean and devein raw shrimp. With sharp knife cut shrimp from end to end along the curve of it's back, butterfly fashion. Fill this slit with approximately 1 teaspoon of horseradish. Wrap 1/2 slice bacon around filled shrimp, closing shrimp as you wrap. Secure with toothpick.
Cook shrimp over hot grill, turning periodically, approximately 20 minutes or until shrimp is no longer translucent and bacon is crisp. (You may want to cook the shrimp on a piece of aluminum foil that has been pierced.) Shrimp may also be broiled in the oven for approximately 15 to 20 minutes. Serves 4.