For the buffalo shrimp, preheat outdoor grill or a grill pan over medium-high heat.
Combine shrimp with juice of ½ lemon, salt, pepper, pimenton and EVOO, then thread them onto 2 parallel skewers to secure them from spinning during the grill process. I skewer each shrimp near the tail-end with one skewer and then near the front of each shrimp on a parallel, separate rod or skewer. Thread bay leaves every few shrimp. About 12 shrimp should fit on each double-skewer set-up.
For the dip, combine yogurt, garlic, cheese, herbs, and lemon juice in a small bowl. Transfer to a serving dish.
Spray grill or grill pan and cook shrimp 6 minutes or until charred at edges and cooked through. Remove from grill or grill pan.
Melt butter in large skillet over medium heat, add garlic and swirl a minute or 2, then add hot sauce. Add shrimp, sliding off skewers into pan and discarding bay leaves, then turn in sauce for a minute. Arrange on platter with cut celery, carrots and peppers. Serve dip alongside.