Prep your shrimp (thaw under cool running water if frozen and peel them, then pat them dry with paper towel) and preheat the oven to 400F. Move the oven rack to the middle position.
Line a large baking sheet with foil for easy clean-up and place a wire cooling rack (like you’d use for cookies) on top.
Lay the bacon strips on the wire rack (don’t let them overlap).
Cook the bacon in the oven for 13 minutes or until you can see it's on its way to being cooked but not quite there yet (we still want it pliable so it can be wrapped easily). If your oven runs hot or cold, you may need to adjust timing.
Take the bacon out of the oven and let it cool enough to handle. Meanwhile, add the pepper jelly and butter to a small bowl and microwave until the butter is melted. Give it a good stir.
Cut the bacon slices in half and then wrap each shrimp with the bacon and secure it with a toothpick.
Brush the pepper jelly mixture over the shrimp (you can pick the shrimp up by the toothpick and do both sides), and place each shrimp on the wire rack.
Return the wire rack/baking sheet combo to the oven and cook the shrimp for 8 minutes (again, you may need to adjust timing a little bit if your oven runs hot/cold). Serve warm.