In a large mixing bowl, combine the shrimp, olive oil, sugar, pimento, salt, garlic and lemon zest. Let the shrimp marinate for 20 minutes.
Preheat a grill pan over high heat.
When the grill pan is hot, grill the shrimp until they are just cooked through and turning pink, about 2 minutes per side. Serve immediately with the Romesco Sauce.* (See Cook's Note)
In a food processor, process the toasted almonds until ground. Add the roasted red peppers, olive oil, vinegar, cayenne pepper, bread and garlic. Process until the mixture is smooth. Season the sauce with salt and pepper and transfer it to a serving bowl to serve alongside the grilled shrimp.** (See Cook's Note)
*The sugar in the marinade helps to caramelize the shrimp. This is a great tip to use when trying to get those char marks on your grilled foods. **If the consistency of the sauce is too thick, try adding more olive oil or vinegar to achieve the consistency you like. Wine suggestion for this recipe: Pinot Grigio