Preheat oven to 350 degrees F. Line a large baking sheet with foil, spray with cooking spray, and set aside.
Heat oil in a skillet over medium-high heat. Season shrimp with salt and pepper, add to skillet, and cook for 3-4 minutes, stirring until just pink.
Drain any water that may have collected in the skillet and stir in the cream cheese, buffalo sauce, and Monterrey jack cheese and stir until combined.
Spoon 2-3 tablespoons of the shrimp mixture into the center of each tortilla and roll from the bottom up and place on the prepared baking sheet, seam-side down. Spray rolled taquitos with cooking spray and bake for 18-20 minutes, until golden brown.
Serve with dipping sauce of your choice. (Buffalo ranch or just ranch are excellent choices!)