I often eat shrimp with the shells and tails on. A friend who owns a fish market turned me on to it... Lots of great flavor there and its a common practice in several cultures. Anybody have any idea what nutritional benefit they add vs shelled? I've gotta imagine there is plenty of good stuff in there.
Good source of glucosamine/chondroitin. Good for joints. Shells and tails are often used in stock, like bones of other animals. I imagine a good source of calcium and other unspoken minerals, but don't quote me on that.
Save the shells and make a shellfish stock once you have collected enough. One example here:
Hard data on HG diets? 4 Answers
Allergic to shellfish 9 Answers
Vegetable or Not? 6 Answers
Are organic eggs worth it? 9 Answers