Combine 1 cup of Canola Oil with 3 cloves of crushed garlic in a small saucepan. Heat on low for about 10 minutes or until garlic cloves brown. Remove spent garlic cloves and cool oil to room temperature.
If using your outdoor grill, Prepare it for medium-high heat. Lightly oil grate.
Using kitchen shears, snip down back of each shrimp shell along the vein, stopping at the tails. You may end up cutting a little but of the flesh, but the aim here is to make it easy to peel the shell later (if you choose!) without compromising the shrimp’s tenderness. The shells are a protective barrier, so keep them on when grilling.
Transfer shrimp to a medium bowl. Add 2 Tbsp. oil, 2 cloves minced garlic, 3 tsp. Old Bay, and 1 ½ tsp. salt and toss to combine. Let sit 10–15 minutes while you prepare the aioli.
Whisk egg yolks and remaining garlic in a medium bowl. Finely grate 2 tsp. lemon zest into egg mixture. Whisking constantly, gradually stream in 1 cup garlic infused oil until thick and pale yellow. Stir in juice of one lemon. Season well with salt—it should taste really vibrant.
If using stove top grill pan, set it over high heat.
Cut remaining lemons in half. Grill shrimp and 4 lemon halves (cut sides down) until shells are golden brown and charred in some spots and flesh is opaque and cut sides of lemons are deeply caramelized, 1–2 minutes.
Spread aioli on a platter. Arrange shrimp and charred lemons over. Season lightly with more Old Bay.
