Heat the grill to a medium-high heat with a two-zone system (one hotter area and one not as hot). Place a grill-safe pan directly on the grill grates to preheat.
While the grill is heating up, add minced garlic, Worcestershire sauce, hot sauce, Creole seasoning, paprika, oregano, thyme, black pepper, cayenne pepper, and juice of a lemon to a medium bowl. Mix together well and set aside.
Place the shrimp directly on the grill grates, and grill on the first side for about 2-3 minutes, depending on the temperature of your grill. The goal is to grill the shrimp just long enough for them to pick up flavor, not to cook them through.
Immediately after adding the shrimp to the grill, pour the prepared sauce mixture into the heated pan. Allow the garlic to cook and soften in the sauce for about 2 minutes. Then pour in the beer, and add about half of the cubed butter. Mix everything together briefly.
Transfer the grilled shrimp into the skillet with the aromatic sauce. Let the shrimp continue to cook as the sauce thickens and the flavors meld together.
Immediately after adding the shrimp to the sauce, move the pan to the cooler zone on the grill. Then place the cut lemon wedges directly on the grill grates. Grill the lemon for 1-2 minutes, or until nicely charred. Then add to the pan with the shrimp and sauce.
Add the remaining butter chunks to the sauce, stirring everything together for the butter to melt.
While the sauce simmers and the shrimp finish cooking, place sliced French bread down on the hot grill grates. Grill to your desired doneness. *I prefer to grill the bread dry, without any butter or oil, since it will be used to soak up a very buttery and rich sauce.
When the shrimp are cooked through and the sauce has thickened slightly, carefully remove the pan from the grill. Allow the dish to cool a bit. *Total cook time for me was about 8 minutes from the time I put the shrimp on the grill grates to the time I took the pan off the grill. Times may vary based on your grill temperature.
Sprinkle with fresh chopped parsley for garnish, and serve the New Orleans BBQ shrimp with the grilled bread for dipping.