Preheat oven to 475°F. Line a baking sheet with aluminum foil and place a baking rack on top of it.
Prepare a breading station: In a shallow bowl or pie plate, whisk together the beaten egg with the half-and-half. In a separate shallow bowl, mix together the breadcrumbs and the Old Bay seasoning.
One at a time, dredge each shrimp through the egg mixture until it is well coated.
Then coat the shrimp thoroughly in the breading mixture. It might be easier to use a fork or tongs, rather than your hands, to make sure each piece of shrimp is well coated. Place the breaded shrimp on your prepared baking sheet in a single layer. Work in batches until all the shrimp are breaded.
Bake for 6 minutes. Pull the baking sheet out and flip the shrimp over. Then continue cooking until the breading is golden brown and crispy—the shrimp should be opaque and pink throughout, and the coating should be firm to the touch—about another 6 minutes. You can also use a kitchen thermometer to check that the shrimp are cooked to an internal temperature of 145°F.
Remove from oven. Let the shrimp cool for 1 minute on the pan. Transfer to a serving dish and serve immediately.