My home is a fishing village in Baja California, Mexico. My area is known for its shrimping. Needless to say, I've purchased, cleaned and cooked my fair share of shrimp. I've developed a few rules for myself and shrimp. My comments will be geared for someone shopping in a civilized community. Where I presently am is decidedly somewhat uncivilized. First: Always purchase Wild shrimp. NOT farm raised. A lot of farm raised shrimp comes from China and Vietnam. Trust me, you don't want to eat it! I always obtain wild caught shrimp, In the U.S., make sure the shrimp is a product of the U.S. (Gulf of Mexico) or Mexico (Gulf of California). Either fresh or frozen is just fine. I usually purchase in bulk, so I am going to freeze them anyway. If fresh, give 'em the smell test. The smell should be salty and sweet. If you get a fishy smell, take a pass. Seafood in the U.S. generally runs on a 90 day cycle. In that it will usually be "on sale" roughly every 90 days in the supermarkets. I have always stocked up when prices are low. As for size, unless the recipe calls for a certain size, such as Shrimp Costa Azul. I usually don't concern myself much about size. Here is what I worked with:
I always clean my shrimp. The thought of eating gritty shrimp poop has never appealed to me. I have cleaned them in just about every possible way. This is my current favorite. I use a stainless steel medium sized pair of scissors and snip through the top of the shell, with the pointy sharp end roughly in the center of the shrimp. The shell can then be removed (or not). 
You should have exposed the vein that runs the length of the shrimp. It is simple to remove. Gently running water really helps the cleaning process. 
With my shrimp clean, we'll move on to lobster. I have SCUBA dived the California and Mexican Pacific coasts for over 20 years. We get the Pacific spiny lobster if fished locally. Also available is the cold water New England lobster (with the claws). My personal favorite is the warm water species that we get from places such as Florida and Australia. They fit my taste buds best! I have used them here.  Just like the shrimp, the lobster need to be cleaned too. Lobsters have a pooper, just like shrimp. The vein is removed much the same way. The tail it split along the back. Some people will use a shears. I prefer my trusty chef's knife. I just align the knife along the length of the tail and give the blade a whack to split the top of the shell. The shell can be split open and the meat brought out on top of the shell. If I were going to BBQ or broil the tails, I would cut lengthwise about 2/3 of the way through the meat in the center and on the left and right sides. This makes a nice "presentation" tail to impress 
your guests. Because I am going to smoke these guys, I took a very direct approach and whacked them in half, lengthwise. Easy to get the vein out, No?

I then took a 9X9 aluminum pan and melted a stick of margarine in it. I then added about 1/2 tbsp each of Old Bay, granulated garlic, granulated onion and black pepper. I then added the juice of one large fresh lemon. In the interim, I brought my smoker up to 230 degrees and laid on the cherry wood. I then put the shrimp and lobster in the pan and mixed it up good. I shook on some more Old Bay to add color and a little flavor. Into the smoker it went and stayed there for 2 1/2 hours. 

When I approached the end of the smoking, I whipped up some Jasmine rice. The Shrimp and lobster came out  of the smoker and onto a bed of the rice. Ladle a bunch of the juice over it and eat! Very easy to make and tasty!