The whole thing. It's the best for them. Moreover, when my wife cooks shrimp, all my cats delight in having the tails.
Even head-on shrimp (very sharp and spiny) is fine for them. They eat crustaceans in the wild - spiny, spiky, prickly... shell and all... as well as spiny fishes. Their stomachs are heavily lined and can handle that. Their stomach juices are potent and will soften the spines quickly and dissolve tough shells. If a super duper shell/bone comes along, the juices will strip it and the rest can sometimes be regurgitated.
No

no seasoning, salt, dressing, sauces, oil, etc.

but as I said, it does not have to eat better than you. I go out catch the staple foods for my fish, chop them up, freeze them to kill parasites, then feed them. Mostly fish. On occassion large insects, lizards, frogs, crustaceans, small snakes.