Prepare a baking sheet with a wire rack and lightly grease the rack with oil.
Cut bacon strips in half, then place each piece on the wire rack. Broil the bacon for 5 to 7 minutes (or until the edges start to curl up some and begin to brown slightly). You may need to flip the baking sheet halfway through for even cooking.
Remove bacon and wrap each shrimp with one of the bacon strips.
Place bacon-wrapped shrimp on wire rack, seam side down.
In a small bowl, mix the maple syrup and cayenne pepper together. Brush the mixture onto the bacon-wrapped shrimp.
Broil for 8 minutes, flipping the pan halfway through.
Serve the bacon-wrapped shrimp with your favorite dipping sauce or enjoy as is.