Seafood stock is one of those things I just can't deal with in a can; fresh is so far superior. If you happen to have some shrimp, crab or lobster shells, the process is actually pretty easy. A fish stock using whole fish heads can be a bit messier, so I'm going to recommend you go the shellfish route. This stock is a great base for soups and stews and for cooking risotto. Cook it down as a base for pasta sauces and sauces to top other seafood dishes.
Shellfish Stock
makes about 2 quarts
5 cups shrimp heads and shells (from about 1 1/2 pounds whole shrimp) or crushed shells from crab or lobster
2 tablespoons olive oil
2 cups chopped onion
1 cup chopped celery ribs
1 cup chopped unpeeled carrots
4 garlic cloves, peeled and crushed
5 springs fresh thyme
5 Italian parsley stems
2 dried bay leaves
1 tablespoon whole black peppercorns
1/4 cup tomato paste
1/2 cup dry white wine
2 quarts boiling water
Salt
Rinse the shrimp heads and shells in cold water and drain.
Heat the olive oil in a stockpot over medium heat. Add the onions, celery, carrots, garlic, thyme, parsley, bay leaves, and peppercorns, and cook, stirring occasionally, until the onions are translucent and the other vegetables soften, about 8 minutes.
Add the shrimp heads and shells, stir, and let the mixture sizzle for a few seconds. Add the tomato paste and wine. Stir once, cover, and cook for about a minute, shaking the pot once or twice.
Carefully pour in the water and bring mixture to a boil, then lower the heat and simmer, uncovered, skimming the surface and discarding any foam that builds up. Simmer over low heat for 45 minutes to an hour, checking for a deep color and rich seafood flavor. Add salt if needed toward the end of cooking.
Cool in an ice-bath and refrigerate or freeze if not using immediately.
(Images: Sara Kate Gillingham-Ryan)
10 Picnic-Ready Salads to Eat Outside
Recipe: Thai Ginger Chicken Stir-Fry
Good Food to Share 
The Big Book of Small, Cool Spaces 
Apartment Therapy Presents 
The Eight-Step Home Cure 
Red-and-Pink-Stripe...
Things Fall Apart: Living Alone in a Space After a Breakup
Juan's Garage Turned Modern Guest House
Do you think it's selling yourself short to use just the shells, not the heads? We have been saving shrimp shells to make stock, but haven't bought the head-on kind (fresh seafood supplies are less than ideal here in the mid-west, we'll take what we can get!). So...try it w/ just the shells? And other adjustments then?
Absolutely! Heads if you can find them, but as long as you have a good heap of shells, go for it.
Do you guys think a fish/seafood market sell you shells etc.? I have a fantastic recipe that uses cream of shrimp soup and it'd be really fun to try making my own.
Perfect! We've got some in the freezer, can't wait to try!
Here in the deep south, I've been warned against using the heads for stock, or even freezing shrimp with the heads on, as the deteriorating brain tissue will result in an skunky flavor. Is there any credibility to this?
katherines,
I wouldn't do it with head-on shrimp that isn't very fresh, but usually if it's being sold whole, it is quite fresh (hasn't been frozen and brought directly from the docks) - much of the shrimp you see in markets with the heads removed was previously frozen.
Like any fish, if when raw it smells bad, it's going to taste (and feel) bad.
Brains (again, when fresh) are definitely something people eat.
Actually, I have nearly a gallon of lobster stock in my freezer, and I've been trying to think of things to do with it, besides lobster bisque and chowdahs (let the record show that I started with much more than one gallon, thanks to a large crustaceacidal party).
Ideas, anyone?
Yeah, I keep a tupperware in my freezer stuffed with tails/shells. It makes great stock, even without the heads.
@mmwwah - Lobster risotto
@sygyzy -- Yeah, actually, I've done a couple of batches of risotto with it too.
Somehow I don't see a great future ahead for lobster demi-glace...
I really prefer the flavor of fresh head on shrimp when I can find it, though it is a messy job to clean. I have used the heads in making broth and noticed that the color is much darker. I also noticed that I seem to have an allergic reaction after eating it, becoming flushed and blotchy in my face. It seems to be something related to the shells too sometimes.
@STLcolleen: I make shrimp shell stock with leftover shrimp shells all the time--the flavor is more subtle and you do have to up the seasoning, but it is easier to manage (for me at least) than finding shells and heads, and still delicious!