Well on the topic of Shrimp in garlic/olive oil, my heart goes out to the version at Portugese Manor in Perth Amboy. I'm sure it's partly because it's the first place I had it, but in my opinion theirs really has been tastier than just about everyone else's I've had.
The single shellfish dish that's really blown me away the most in recent memory is probably the angry lobster and shrimp at Catch in Red Bank. It's pretty insane how good it is.
Aside from that I really love getting sweet shrimp Sushi with the fried heads. I'd love to hear if anyone knows which places in NJ do this. I've literally only had it in 2 places, one was a place around the Highlands that I can't remember any more, and the other was recently at Oyako in Freehold.
Did you have those live shrimp in Japan? That's awesome.