Heat water, bay leaf, lemon and black peppercorns to boiling in large pot. Reduce heat and simmer uncovered 10 minutes.

Meanwhile, shell and devein shrimp. Add shrimp and cook just until pink and slightly firm to the touch, about 3 minutes. Drain immediately and cool under cold running water.

To make cocktail sauce, combine chili sauce, lime juice, horseradish, hot red pepper sauce, and Worcestershire sauce in bowl.