You can eat shrimp with shell and all, no peeling.

It is actually the best part of the shrimp. Crunchy, very intense taste and also full of healthy stuff.
But the spikey things on the head can poke your gums if you are not careful about eating. I had a friend who loved shrimps, the big one you can buy raw and in shell, with legs and all. Just fry them up in oil with soy sauce and some chilli sauce and garlic.But then she also tended to eat the bones from the chicken wings, so... at least she got her minerals.

I do eat shrimp shell, but I never could get myself to eat the head because of the gelatinous mass in there. But the tail shell and the legs are fine.