Heat oven to broil. Lightly spray a broiler rack w/ cooking spray.
Cut bacon slice in 1/2 crosswise. Wrap bacon pieces around each shrimp. Secure w/ toothpicks.
Place shrimp on broiler rack, set in broiler pan. Pour 1/2 cup of BBQ sauce into small bowl. Brush shrimp w/ sauce. Broil shrimp 3" from heat for 2 mins each side, or until bacon is crisp. Serve w/ remaining BBQ saue.