In a small bowl, combine the smoked paprika, garlic powder, chili powder, salt and pepper. Stir until well combined and set aside.
Take a piece of shrimp and butterfly the back of it open just wide enough for stuffing. (With a paring knife, slit the top of a shrimp down the middle, cutting almost but not all the way through to expose the vein that runs along the top of the shrimp. Open the shrimp like a book.)
Spread a small amount of the cream cheese (if using) into the crevice (about 1/4 tsp on each shrimp). Next, place a slice of jalapeno (you may need to cut it to shorten it). Next, close the shrimp so that it is no longer opened like a book, then sprinkle some of the spice mixture over the top of the stuffed shrimp. Wrap with bacon and secure with a toothpick.