Preheat a grill or grill pan over medium high heat.
To make the blue cheese dipping sauce, mix the sour cream, buttermilk, blue cheese, Worcestershire sauce, lemon juice and scallions together in a small bowl. Season the sauce with a pinch of salt and pepper to taste. Refrigerate until ready to serve.
Toss the shrimp in a bowl with the oil, lemon juice, salt, and pepper. In a second bowl, mix the hot sauce and butter together.
Spray the grill with cooking spray. Grill the shrimp 2-3 minutes on each side until cooked through. Place the shrimp in the bowl with the hot sauce and butter mixture and toss to coat them with the sauce. Serve buffalo shrimp on a platter with celery sticks, carrots and lemon wedges. Serve blue cheese dipping sauce on the side.