Whisk together the first six ingredients in a large glass or stainless steel bowl to create the marinade. Stir in the shrimp, cover and refrigerate for 4 to 5 hours.
Combine all the blue cheese dip ingredients (except the buttermilk) in a bowl. As a dip, you may want it pretty thick. To use as a dressing, dilute with buttermilk and stir to reach the desired consistency.
Cover and refrigerate for at least 1 hour before use. Note: This buffalo shrimp recipe will only need a half batch of this dip.
Prepare the grill for direct cooking at 400 to 500°F.
Remove the shrimp from the marinade. Thread each shrimp onto a short skewer so that it will remain straight and you can grill all the sides. Place the panko on a plate and roll the shrimp skewers in the crumbs to coat one by one. Drizzle the breaded shrimp with a little more Cholula hot sauce.
Grill the shrimp skewers over direct heat, turning occasionally, until cooked through and still tender, about 6 to 8 minutes total. Remove from the grill and serve with blue cheese dip.