Add extra virgin olive oil to a large cast iron skillet. Add tomatoes and red onion. Cook for 5 minutes. Add garlic and sugar; cook for an additional minute.
Add artichoke hearts, roasted Italian peppers, olives, red wine vinegar, Italian seasoning, red pepper flakes, black pepper, and kosher salt. Cook for 1-2 minutes.
Remove from heat. Stir shrimp into sauce. Liberally sprinkle with feta cheese and bake for 15 minutes.
Take shrimp out of oven and top with parsley and lemon juice. Serve warm and enjoy!