How do you like it? Tempura style? Batter style? Cornmeal/Flour style?
You can buy mixes in any grocery store to do any of them. I prefer the Cornmeal/Flour style. I just mix salt, black pepper, cayenne pepper with about 2 cups of corn meal and 3/4-1 cup of flour. Throw it in a bag. I peel my shrimp, leaving the tail on, and toss them in the bag and shake shake shake and fry until golden brown. (2-3 minutes - anything more will overcook the shrimp) Your oil should be at 350-375 degrees - anything less and it will come out greasy.
If you don't want to mix the ingredients yourself, there are premade fishfry mixes like I said - those are usually seasoned well.