In a medium bowl, combine vinegar, salt, pepper, and oregano. Whisk in oil. Add shrimp; turn to coat. Cover; let marinate in the refrigerator 30 minutes.
Heat broiler. Working in two batches, transfer shrimp to a baking sheet. Broil until pink and opaque, about 5 minutes. Serve warm or at room temperature with cocktail sauce on the side.
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