1. Cook the grits: In a saucepan, bring water to a boil. Add salt and slowly whisk in the grits. Reduce heat to low and cook, stirring occasionally, until thickened, about 20 minutes.
2. Stir in cheese and butter: Remove the grits from heat and stir in the cheddar cheese and butter until melted and smooth. Season with salt and pepper to taste. Keep warm.
3. Cook the shrimp: In a skillet over medium heat, add the shrimp and BBQ sauce. Cook until the shrimp are pink and opaque, about 5-7 minutes.
4. Serve: Spoon the grits into bowls and top with the BBQ shrimp. Serve immediately.