Shrimp stock is a wonderful reason to buy shrimp raw and peel it yourself. Just save the shells from peeled shrimp, and throw them in a bag in the freezer. It doesn't matter if the shells came from shrimp that were raw or cooked when you peeled them, either way is fine. When you've saved up the peels from about 2 pounds' worth of shrimp, put them in a pot with enough water to cover them, and 1 teaspoon salt. Bring to a boil, then simmer for about 15 minutes. Strain out the shells, then do whatever you like with the stock.
Shrimp stock makes a terrific base for seafood soups such as bouillabaisse, and can also be used to enhance stir-fry recipes. It doesn't keep for more than a few days in the refrigerator, though, so either use it quickly, freeze it, or (a lovely option) boil it down to about 1/8 its original volume and make concentrated stock cubes by freezing it in an ice cube tray. Once frozen, put the cubes into a sealed plastic bag to keep your freezer's defroster from eating them. And wash the tray before making ice with it, unless you really like shrimp cocktails.