Preheat the oven to 350 degrees F (175 degrees C). Arrange the shrimp in a single layer in as many baking dishes as you need. Set aside.
Melt 1/2 cup of butter in a large skillet over medium heat. Add the onion, garlic, celery, parsley, Creole seasoning and rosemary. Cook and stir for a few minutes, until onion is tender. Add the rest of the butter and cook until melted over low heat. Stir in the pepper, Worcestershire sauce and lemon juice. Pour this mixture over the shrimp so that the shrimp are completely submerged.
Bake in the preheated oven until shrimp are pink, 15 to 20 minutes.