Shrimp Cocktail @ Davis Street Fishmarket By Penny Pollack March 29, 2012, 5:07 pm The best thing about the shrimp cocktail @ Davis Street Fishmarket (Evanston) is the, uh, the cocktail sauce—after I mixed in the horseradish. DAVIS STREET FISHMARKET: 501 DAVIS, EVANSTON; 847-869-3474 Tags: What Penny Eats