Bring 8 cups of water to boil in a large pot. Cut one lemon in half and squeeze the juice into the water, then toss both halves in. Add onion, whole garlic cloves, bay leaves, thyme, parsley and salt to the boiling water; boil uncovered for 10 minutes.
Meanwhile, prepare a large bowl with ice water.
Turn off heat and add raw shrimp to the water. Stir and cook for several minutes; just until shrimp turn pink and begin to curl. Transfer cooked shrimp to the ice bath and chill 10 minutes. Drain. Store, covered, in the refrigerator until ready to serve.
Serve chilled with homemade cocktail sauce and lemon wedges. Garnish with fresh minced parsley if desired.