Most shrimp is sold as either frozen or freshly thawed (previously frozen). When selecting thawed shrimp, make certain that they are not "mushy" and do not have freezer burn (light gray areas that look suspect). Ask the seafood merchandiser to give you one so you can feel the texture and make sure it is firm, moist and has no ammonia or decay smell.
If you live in an area where you have access to fresh shrimp it is still important to make sure that they smell fresh and not like ammonia.