The first time I ran into a shrimp with heads and legs and tails, was when I was 9 or 10. I just looked at it and looked at it and decided to give it to my mother. This was at a Chinese Student Potluck in Iowa and was considered a rare treat -- it was hard to get any sort of fish much less whole shrimp.
I know eat it quite happily but prefer if someone else has done the cooking.

I missed it. I do like shrimp, but I've never had it with the head and legs.

We had a job candidate once who told us that she had loved shrimp, but that having lived in a shrimping area, and having consumed so much of it, she apparently had eaten her lifetime allocation because she developed a serious reaction to it and could no longer eat it.

Another friend had that happen with tomatoes.