In a large saucepan, bring water and 1/2 teaspoon Creole seasoning to a boil. Slowly stir in grits. Reduce heat. Cover and cook for 12-14 minutes or until thickened, stirring occasionally. Add cheese; cook and stir for 2-3 minutes or until melted. Set aside and keep warm.
Place the butter, oil, garlic, oregano, 1/8 teaspoon cayenne and remaining Creole seasoning in a 13-in. x 9-in. baking dish. Squeeze juice from lemon into dish; add lemon quarters. Bake, uncovered, at 400° for 4-6 minutes or until hot. Add shrimp; bake 10-12 minutes longer or until shrimp turn pink, stirring once.
Meanwhile, in a large skillet, cook the mushrooms, bacon, shallot and remaining cayenne over medium heat until bacon is crisp. Add wine, stirring to loosen browned bits from pan. Bring to a boil; cook until liquid is evaporated. Reduce heat; stir in spinach and cream.
Peel shrimp, leaving tails on. Spoon grits onto serving dishes; top each with sauce mixture and a shrimp. Yield: 16 appetizers.