1. Simmer shrimp and 3 cups water in saucepan until shrimp are opaque in thickest part, about 10 minutes. Drain in colander; rinse under cold water. Reserve 1 or 2 of best shrimp for garnish; finely chop remainder.
2. Saute garlic and thyme in oil in small skillet over low heat until garlic is softened but not browned, 3 to 5 minutes.
3. Mix cheese and garlic mixture in large bowl. Stir in all but 1 teaspoon red and green peppers, the scallions, lemon juice, Worcestershire, pepper sauce, salt and pepper. Stir in chopped shrimp and sour cream. Cover and chill.
4. Stir dip. Adjust salt and pepper sauce, if desired. Mound dip in serving dish. Garnish with reserved whole shrimp and remaining chopped peppers. Surround with crackers and vegetables for dipping.