Don't let the Mexican word cucaracha, cockroach, deter you from trying this easy and delicious shrimp appetizer! It's whimsical! Lol! The traditional recipe is prepared with shrimp that still has the heads on. They are not that easy to find most times. Traditional camarones a la cucaracha are prepared with the whole shrimp that includes the head. This was all I could find at the time.