The short answer is a resounding, "YES!" In fact, it is one of the healthiest foods you can eat with one giant caveat. You need to buy wild caught shrimp, not farm raised shrimp. Farm raised shrimp is much lower in nutrient quality than wild shrimp because of what they eat and it contains much higher levels of toxins like mercury. Bottom line, wild shrimp is good for you but farm raised shrimp not so much.
Shrimp is very high in omega-3 which is super-nutrient severely lacking in most people's diet. Moreover, shrimp contains the form of omega-3 that can be used directly by the body - DHA and EPA. This means that most of the omega-3 that you eat in shrimp will be absorbed by the body. This is not true for vegetarian sources of omega-3 which contain ALA, which must be converted to DHA and EPA in the body before it can be utilized. Unfortunately, even in a super healthy person, ALA is only converted at a rate of 20-25%.
Shrimp has gotten a bad rap in some of the news media coverage regarding cholesterol. However, research has shown that shrimp actually raises the good cholesterol and lowers the bad cholesterol.
Wild shrimp is a bit on the costly side but in most grocery stores or meat markets, you can buy any number you want. So, if you're on a budget I suggest just buying maybe 6-12 wild shrimp. This is more than enough to reap the benefit and you can add them to a delicious stir-fry or a nice chowder or soup.