Preheat the oven to 400 degrees. Lay the bacon on a sheet pan in a single layer and cook for 7-8 minutes. Remove the bacon from the oven and lay out on paper towels to drain.
When the bacon is cool enough to handle, cut each strip in half and wrap a piece around each shrimp. Place the shrimp on a clean baking sheet with the seam side of the bacon down.
In a bowl, mix together the BBQ sauce, honey, mustard and Worcestershire sauce. Bake the shrimp for 7-8 minutes, remove from the oven and brush the glaze on the shrimp. return the shrimp to the oven and bake for 5 minutes.
Remove the shrimp from the oven and turn on the broiler. Brush the shrimp with the glaze one more time and broil for 3-4 minutes until the glaze is caramelized. Serve immediately.
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