Add the chopped bacon to a pan over medium heat and cook until almost crisp, about 4 minutes. If not using the bacon, just start with a tablespoon of olive oil.
Add the garlic and cook until fragrant, 30 seconds to 1 minute.
Add the cherry tomatoes and vodka. Cook for about 5 minutes.
Pour in the tomato juice, horseradish, and Worcestershire sauce. Bring the heat down to medium-low. Taste for seasoning, adding salt and pepper if needed, and cook for 15 to 20 minutes, or until the sauce thickens a bit and the alcohol has burned off.
Add the shrimp, season it with salt, and cook for about 2 to 3 minutes per side, or until opaque.
Take the bloody mary shrimp off the heat, squeeze over the juice of half a lemon, taste for seasoning and serve with fresh herbs, lemon wedges, and your choice of pasta, rice, or bread.