Most shrimp you'd want to eat, including most wild-caught Gulf shrimp, are frozen on the boat. This goes back pretty far, at least 20 years. That said, there's nothing quite like shrimp that come in the kitchen door still squirming from the boat. As with most seafood, I'd like for it to have been alive and well within the past day or two or frozen on the boat. The worst is the "fresh, previously frozen" stuff that gets thawed to look pretty in the display case.
Whatever Snappy's has, it's plenty good. For the OP, please do a search as shrimp shacks, a quirky Chicago phenomenon, are well-documented here already. Cantonese S&P preps are a good idea if one doesn't want thick breading.