In a large bowl, toss together the shrimp with the olive oil, Cajun seasoning, brown sugar and chopped chipolatas in adobo sauce, and mix well to fully coat the shrimp. Cover and refrigerate for 30-60 minutes.
Baking: Preheat oven to 350°F. Spread out the marinated shrimp onto a foil-lined baking sheet, and season with salt and pepper. Bake until the shrimp curl up and turn pink, about 10-15 minutes. Serve warm or at room temperature with a garnish of lemon or lime wedges.
Grilling: Preheat an outdoor grill to medium and barbecue shrimp until they curl up and turn pink.
Sautéeing: Preheat a large skillet over medium to medium-high heat. Add about 1/2 tablespoon of oil, and once hot add the shrimp, being careful not to overcrowd the pan. Cook about 2 minutes per side.