Preheat oven to 425°F.
Sauté onions and garlic: Coat the bottom of a large, oven-proof skillet with oil and heat it on medium-high heat. Stir in the onions and cook until softened, 3-5 minutes. Add the garlic and cook until fragrant, about 30 seconds more.
3 Add tomatoes, simmer: Add the tomatoes and bring to a simmer, reduce heat and let simmer for 5-10 minutes, until the juices thicken up a bit.
Add feta, shrimp, herbs, put in oven and bake: Remove from heat. Stir in the herbs, shrimp, feta cheese, and salt and pepper to taste. Place pan in oven and bake, uncovered, until shrimp are cooked through, about 10-12 minutes.
Serve immediately. Serve with crusty French or Italian loaf bread, pasta, or rice.