Coconut shrimp can be cooked in a variety of ways: deep-fried with a crispy-coconut coating, sautéed in coconut milk, or baked in a both. For an indulgent appetizer, try this version, where shrimp are dredged in spicy flour, coconut milk and a coconut-panko mixture. They’re fried until crunchy, and served hot with lemon wedges. For a healthier take that works well as a quick dinner, sauté shrimp with coconut milk and cilantro. mkgalleryamp; Wine's guide has dozens of coconut-and-shrimp combinations.