Combine the flour, cornmeal, salt, pepper, paprika, garlic powder, and cayenne pepper in a shallow bowl. Mix the egg with the milk in another bowl and season with a bit more salt and pepper. Place a wire rack on a baking sheet.
A few at a time, dunk the shrimp in the milk mixture, turning them to coat. Using a slotted spoon or your hand, remove the shrimp, allow any excess liquid to drip back into the bowl, then dredge them in the flour mixture, making sure they are well coated. As the shrimp are breaded, place them, without touching, on the wire rack. When all of the shrimp are coated, place the baking sheet into the fridge and let the shrimp chill for 15 minutes, or up to a couple of hours.
Line a large plate with paper towels. Pour the oil to a depth of 1 inch into a large, heavy deep skillet. Heat the oil over medium-high heat to 365 F. (see Note). In a few batches, add the shrimp, turning them with a slotted spoon as they cook. They should fry for about 2 to 3 minutes total, and become golden brown and crispy. Remove them with a slotted spoon to the paper towel-lined plate. See if they need another light sprinkle of kosher salt. Continue frying in batches until all of the shrimp are cooked and crispy.
Notes
If you don’t have a candy thermometer or an instant-read thermometer, just wait until the oil is shimmering, then add one shrimp. If it starts to gently sizzle and turn golden brown after about 2 minutes, your oil is at the perfect temperature.
Use raw, peeled, deveined shrimp for this recipe.
When you coat the shrimp in the milk-egg mixture and then the flour mixture, use one hand for the wet ingredients and another for the dry ones to keep everything from getting clumpy, sticky, and messy.
When all the shrimp are breaded, place the baking sheet into the fridge and let the shrimp chill for 15 minutes. This will help the coating adhere to the shrimp when frying.
Make sure the oil is not too hot, but hot enough (see below).
Fry the shrimp in batches without crowding them in the pan.
Don't overcook the shrimp. As soon as they are golden brown, they will be cooked through.
Allow the shrimp to drain on paper towels to remove any excess oil.