Bring first 4 ingredients to a boil in a medium saucepan; gradually whisk in grits; reduce heat and simmer, stirring occasionally, 10 minutes or until thickened; add cheddar cheese and next 4 ingredients; set aside but keep warm.
Cook bacon in a large skillet until crisp; remove bacon and drain on paper towels, reserve 1 tablespoon of drippings in skillet; crumble bacon and set aside.
Sprinkle shrimp with pepper and salt; dredge in flour.
Saute mushrooms in hot drippings in skillet 5 minutes, or until tender; add green onions and saute 2 minutes; add shrimp and garlic and saute 2 minutes or until shrimp are lightly brown; stir in chicken broth, lemon juice and hot sauce and cook 2 more minutes, stirring to loosen browned bits from skillet.
Divide grits into 4 large, shallow soup bowls; divide shrimp mixture into four servings and place on top of grits; top each serving with crumbled bacon and serve with lemon wedges.