Toss the shrimp in a bowl with 1 tablespoon of the olive oil, 1 of the garlic cloves, the oregano, chili, black pepper and salt.
Arrange the tomatoes in a large baking dish. Add the remaining 2 tablespoons olive oil and remaining garlic clove and toss it all around until the tomatoes are coated. Tuck the feta cubes here and there in between the tomatoes.
Bake 15 minutes. The tomatoes should be bubbling with juice and the cheese softened. Distribute the shrimp evenly over the tomatoes. Return to the oven and bake an additional 5-7 minutes, just until the shrimp are opaque and cooked through.
Serve as is or with naan, pita or pasta.
The baked shrimp can be served warm from the oven or at room temperature.