Peel and devein shrimp; reserve shells. Combine 2 tablespoons olive oil and lime juice in a glass bowl; crush and add 1/2 teaspoon ground fennel. Add shrimp and marinate 45 minutes, stirring occasionally. In large saucepan, combine reserved shrimp shells, 2 teaspoons olive oil and remaining teaspoon ground fennel; saute 3 minutes. Add onion and saute one minute. Add the brandy and flame with a match. Add the wine and cook over high heat until reduced to about 2 tablespoons of liquid. Add cream and bring to a boil; cook 2 minutes or until slightly thickened. Strain into a clean pan, pressing to extract as much liquid as possible. Keep warm.
Place shrimp on 4 skewers, going through both top and tail of shrimp. Grill on hot grill 4-5 inches above hot coals about 2 minutes per side or until just opaque throughout. Place shrimp on plates and spoon warm sauce on top. Serve with rice.