One of the best things I've ever made is Baked Shrimp with Feta. It is an easy and very flavorful recipe.
In a sauce pan, heat 1 tablespoon of olive oil over medium heat.
Dice one medium onion and cook for three minutes, or until onions are soft.
Heat the oil in skillet over a medium-high heat. Add the onion and cook, stirring, until softened, about 3 minutes, then add the garlic and cook for 1 minute. Add the tomatoes and bring to a boil. Reduce the heat to medium-low and let simmer for about 5 minutes, until the tomato juices thicken.
Remove from the heat. Stir in the parsley and dill. Spray baking dish with cooking spray and place shrimp in dish. Season with salt and pepper. Sprinkle the feta over the top. Bake until the shrimp are cooked through and cheese melts, about 20 to 30 minutes.