Bacon-Wrapped Shrimp with Quick Béarnaise Sauce

1/2 cup mayonnaise 1 tablespoon minced shallots 2 teaspoons chopped fresh tarragon OR 1/2 teaspoon dried tarragon, crushed1 1/2 teaspoons tarragon or red wine vinegar 1/8 teaspoon freshly ground pepper16 jumbo shrimp, peeled, deveined, with the tail segment left on8 strips smoked bacon, cut crosswise in half 16 wooden toothpicks, soaked in water for 20 [...]