Place shrimp in a medium bowl. Add garlic, red pepper flakes, olive oil, lime zest and pepper. Toss to coat completely and set for 15-20 minutes to marinate.
Meanwhile prepare cocktail sauce. In a small bowl combine ketchup, horseradish, lemon juice, worcestershire sauce and hot sauce (if desired). Stir to combine. Adjust seasoning to taste.
Heat grill to medium high heat -- about 400 degrees. Skewer the shrimp through the head end first then through the tail section. Having two entry points will hold the shrimp steady on the skewer. Grill the shrimp for 2-3 minutes per side, or until pink and firm.
Serve shrimp alongside cocktail sauce.
Notes
If using wooden skewers, be sure to soak them in water for an hour before threading the shrimp onto them. This will prevent the skewers from catching fire on the grill.