Preheat the oven to 400 degrees F (200 degrees C).
Put the lime juice, whisky, and sugar in a pan over medium heat and cook, stirring gently, until the sugar has dissolved. Once the sugar has all dissolved, stop stirring, then turn up the heat and boil for 5 to 7 minutes, or until the mixture goes syrupy and thickens. To tell if it is ready, dip a wooden spoon in the mixture and tap off the excess - some glaze should still stick to the spoon, but it will not be as thick as honey. Sometimes the whisky catches alight and you will see a blue-orange flame coming from the pan. Just take it off the heat and the whisky will burn itself out. Stir in the finely grated lime zest, then remove the pan from the heat and set aside.
Put the shrimp in a shallow ovenproof dish and sprinkle over the chili. Brush the shrimp with some oil and then with the glaze. Bake in the oven for 10 to 15 minutes, or until the shrimp turn opaque. Remove from the oven and brush with more glaze. Reserve the extra glaze for dipping.
Let cool slightly (the glaze gets ridiculously hot) and serve, with a significant other, a huge green salad, and hunks of crunchy bread.