Put shrimp (with the shells) in a bowl. In a separate bowl, combine the olive oil, cajun seasoning, lemon and cilantro. Pour this mixture over the shrimp and toss to coat. Cover and refrigerate to marinate for 3 to 4 hours.
Heat the grill or broiler to medium-high heat. Drain the shrimp, but reserve the marinade. Grill the shrimp with the shells on. The shells keep the shrimp moist and add a whole new realm of flavor to the shrimp. This should take 8 to 10 minutes. Baste with the reserved marinade repeatedly while cooking. Before serving, slip the shells off.
PREPARE THE LEMON- CHIPOTLE BUTTER:
In a small bowl, combine the melted butter, chipotle chile, garlic, lemon juice and zest, and season with salt and pepper as needed. Use this mixture to drizzle on top of the cooked shrimp.