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 onion, garlic, celery, parsley, Creole seasoning, and rosemary. Cook and stir for a few minutes, until onion is tender. Add rest of butter and cook until melted over low heat. Stir in pepper, Worcestershire sauce, and lemon juice. Pour this mixture over shrimp so that shrimp are completely submerged.
Bake in the preheated oven until shrimp are pink, 15 to 20 minutes.