Roasting the shells prior to making the stock intensifies the flavor.
Not having a large batch of shrimp? Just freeze whatever shells and heads you do have when you peel shrimp, even if it's just a half pound. When you have saved enough in the freezer, make your stock!
Use fresh herbs if you can. If you tie them together using butcher twine it will be easier to pull them out when you're done. If you are using dry herbs, place those, along with the peppercorns in a cheesecloth bag. Bundling your herbs and spices like this is called Bouquet Garni and here's how to make one.
I never add salt when making stock. Remember the stock is an ingredient in your final dish...so wait and salt the final dish to your liking. If the stock is salty, the final dish may end up too salty.