Step 1: Rinse the shrimp, drain, and blot dry. Place in a large bowl, sprinkle with Cajun seasoning, and stir to mix. Stir in the olive oil.
Step 2: Set up your smoker according to the manufacturer’s instructions and preheat to 250ºF. Add the wood as specified by the manufacturer.
Step 3: Lightly oil a mesh grilling grate or grill basket. Arrange the shrimp in a single layer and place in the smoker. Smoke the shrimp until firm and bronzed with smoke, 30 to 45 minutes.
Step 4: Meanwhile, make the sauce: Melt 3 tablespoons of the butter in a skillet over medium-high heat. Set aside 2 tablespoons of the scallion greens, then add the remaining scallions to the skillet and sauté, stirring well with a wooden spoon, until just beginning to brown, 3 minutes. Add the bourbon and beer and boil until reduced by half. Add the barbecue sauce, Worcestershire, lemon juice, and brown sugar, and boil for 1 minute. Add the cream, the remaining 3 tablespoons of butter, and the hot sauce and boil until thick and richly flavored, 5 minutes. Add salt and pepper to taste and more sugar if a sweeter sauce is desired; the sauce should be highly seasoned.
Step 5: Transfer the smoked shrimp from the smoker to the pan with the barbecue sauce. Sprinkle with the reserved scallion greens.
I call for peeled deveined shrimp, which are easier to eat (and more socially acceptable) than my real preference: shrimp with heads and shells intact. (If using these, you’ll need about 2 1/2 pounds.) To devein shell-on shrimp, make a slit down the back of the shell with kitchen shears, then pull and scrape out the vein with the tine of a fork or the point of a bamboo skewer.