Add shrimp to medium saucepan of simmering salted water. Cook 2 to 3 min. or until shrimp curl, turn pink and are just cooked through. Drain and plunge in bowl of ice water to stop cooking process. Drain and lay on paper towels.
Meanwhile, stir ketchup with lemon juice, horseradish, tarragon, Worcestershire sauce and pepper. Transfer to serving bowl.
Plate shrimp and garnish plate with tarragon sprigs, if using. Serve cocktail sauce with shrimp and lemon wedges.
Replace tarragon with parsley or dill.