In a medium bowl mix together Greek yogurt, peperoncinis (saving 1-1/2 Tbs.), lemon juice, juice from peperoncini jar, garlic, and a pinch or two or salt and white pepper (if using).
Portion out dip in martini glasses or put all in one bowl. Sprinkle remaining peperoncinis in the middle, on top of dip in individual glasses or in bowl.
Hang 5-6 shrimp on the rim of the glasses or all of shrimp on the bowl rim.