Preheat skillet to medium heat then add bacon and fry, turning occasionally until crisp. When done, put bacon on paper towels to drain off extra grease. Reserve 2 tbsp of the grease from the pan and put in a small sauce pan. When bacon is cool, chop into small pieces and set aside.
Warm bacon grease over low/medium heat and add onion. Continue to cook until translucent and fragrant. Add fresh garlic and thyme, stir and continue to cook for 1 minute.
Add bourbon to sauce pan and stir. Heat to a low simmer and continue to cook for 3 minutes.
Add Sweet Baby Ray’s Hickory and Brown Sugar BBQ sauce, and continue to stir on low for approximately 5 minutes.
Remove sauce from heat and set aside.
Preheat grill for medium heat, and lightly oil the grill grate. Place shrimp directly on the grill if large enough or thread shrimp onto skewers, piercing once near the tail and one end near the head.
Cook shrimp for 3 minutes on each side, then baste the shrimp with the BBQ sauce on both sides. Continue to cook for about 2 more minutes per side or until center of shrimp is opaque and cooked throughout.
Garnish grilled shrimp with the chopped bacon and serve immediately.