Haha, well dang it! I had the opportunity to eat shrimp cocktail on Sunday with my family but I thought I'd better not... Not sure why, just thought I had heard not to. Oh well! I'll get it next time around!
People get shrimp and lobster mixed up a lot. Shrimp floats in the water and lobster lives on the seabed and is exposed to heavy metals. Shrimp is ok (just make sure it's really well chilled and freshly cooked) and lobster is in the same class as tuna.
Shrimp cocktail is completely fine, as long as you don't go over the recommended ammount of seafood for the week (I think it's about 2 servings). As far as cooking with wine, I'm by no means an expert but I would also assume this is fine. You're probably not using an excessive ammount, and much of it cooks away anyway.
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Re: Shrimp Cocktail?