You’ll need a shallow heavy pot or Dutch oven with a lid.
Chop butter into pieces and scatter around the bottom of the pot. Scatter half the shrimp over the butter. Scatter half the garlic, half the parsley, half the chili powder and half the salt over the shrimp. Drizzle on 2 tablespoons of olive oil. Arrange the rest of the shrimp on top, followed by the rest of the garlic, parsley, chili powder and salt. Drizzle on the remaining 2 tablespoons of olive oil.
Cover the pot and turn the heat to medium high. Cook for 8 minutes or until the shrimp have lost their raw color. Pour in lemon juice and scatter the feta cheese on top. Baste the shrimp with a few spoons of sauce from the bottom of the pot, and gently jiggle the pot to distribute the sauce throughout.
Lower the heat to medium-low, cover and cook for another 8 minutes or until the feta is just melted. Serve hot with crusty bread for dipping.