In a small bowl combine peanut butter and water; mix until a smooth paste forms. Stir in soy sauce, then brown sugar, cayenne and lemon juice. Mix by hand well combined and smooth. Set aside and prepare shrimp.
Preheat oven to 450 F. Wrap shrimp with 1/2 slice of bacon securing with a toothpick. Be sure and use large shrimp because the cook time for the large shrimp and the bacon are similar. Line jelly roll pan with extra heavy duty foil, and place a baking rack in the pan. Place the shrimp on the rack and sprinkle with the barbecue seasoning, turn and sprinkle the second side. Let the shrimp sit for 15 minutes.
Cook for 10 to 15 minutes (turning once during cook time). Serve with peanut sauce.