Given the contamination issues made public recently, I would avoid Chinese shrimp, and concentrate on US caught wild shrimp.
The question is, where are said shrimp in season?
Maine shrimp are in season.
White shrimp are in season in the summer, brown shrimp are in season in the fall and winter, as long as it's warm enough to fish.
Atlantic and gulf-caught brown shrimp are in season right now.
Linky.American shrimp fishers are finding it very hard to compete with imported shrimp. Consider giving your business to local fishermen. I would buy wild caught shrimp from American coastal waters.
You can freeze head-on shrimp by putting them into a container, filling the container with water, and freezing into a block of ice. When we lived in New Orleans, we'd cut the top off milk cartons and use thd bottom as a container. This works very well. You could also use a plastic container. After this is frozen, you can wrap it, but don't close the container or wrap the container until it's frozen solid, as the ice expands. We always preferred brown shrimp (Penaeus aztecus).