Heat the oil in a heavy medium skillet over medium heat. Add the pepperoncini and garlic and saute until fragrant, about 2 minutes. Season to taste with salt and pepper. Set aside.
Toss the shrimp in a medium bowl with 2 teaspoons of the pepperoncini oil. Sprinkle with salt and pepper. Prepare a charcoal or gas grill for high heat or preheat the grill pan over a high flame. Grill the shrimp until just cooked through, about 2 minutes per side. Toss the shrimp with the remaining pepperoncini oil to coat.