Grasp each shrimp by the tail and cut almost through the body, halfway up. Open the shrimp halves to resemble a butterfly.
In a glass mixing bowl, mix together the buttermilk, sugar, vanilla and egg. Add the shrimp and make sure they are all covered with the liquid. If not, add additional buttermilk as needed. Let the shrimp marinate for at least 1 hour.
Place the cornmeal in a shallow bowl. Remove shrimp from liquid and shake off any access. Dip into the cornmeal and place on a rack next to the stove.
Add 1 inch of canola oil to a skillet. Heat the oil and fry a few shrimp at a time, regulating the heat so the shrimp do not burn. Cook for 30-45 seconds, remove and drain on paper bags. Continue with remaining shrimp.
Serve immediately with Legal Sea Foods Chipotle or House Tartar Sauce for dipping.