Preheat oven to 375 degrees. Spray a baking dish large enough to hold the shrimp without being crowded such as a 10-inch round baking dish.
Heat 2 tablespoons butter in a small skillet or saute pan over medium heat. When the butter has melted, add the shallot and red bell pepper. Cook for 4-5 minutes or until very soft, being careful not to brown the vegetables. Transfer the vegetables along with all the butter to a bowl.
Add 1 1/2 tablespoons parsley, Worcestershire sauce, mayonnaise, dry mustard, 1/2 teaspoon Old Bay seasoning, cayenne pepper, crushed crackers, and crab. Stir well and season with salt and black pepper to taste. Give the filling a squeeze of lemon with one of the wedges. Set filling aside or refrigerate until ready to stuff the shrimp.
Butterfly the shrimp: Along the slit where you pulled the vein from (the back), cut a little deeper to butterfly the shrimp, being careful not to cut all the way through. (If you accidentally do in a small spot, the filling will cover it.) Gently press the shrimp down to flatten them and pat dry.
Season the shrimp with a light sprinkling of salt, black pepper, and Old Bay. Flip the shrimp so the butterflied side is down so the tail will curl back over the filling.
Shape the filling into even-sized balls. Place even amounts of the filling on each shrimp and press the tail into the filling. Place the stuffed shrimp into the prepared baking dish.
Bake uncovered for 15-16 minutes.
Garnish with remaining chopped fresh parsley and serve with lemon wedges.