In a large skillet, melt butter over medium-low heat. Whisk in flour, and cook, stirring occasionally, until roux is golden brown and resembles the color of peanut butter, about 10-12 minutes.
Add the onion, bell pepper, and celery. Cook, stirring occasionally, until softened, about 5-7 minutes. Stir in the garlic, parsley, and Cajun seasoning. Cook, stirring constantly, for about 1 more minute.
Gradually whisk the broth into the skillet. Add the thyme, bay leaves, and Worcestershire sauce. Bring to a boil. Reduce the heat, and simmer until thickened, about 7-10 minutes.
Add the shrimp to the skillet. Cook, stirring occasionally, until the shrimp and firm and pink, about 5-7 minutes. Discard the bay leaves.
Serve over rice, and garnish with sliced green onion, fresh parsley, and/or hot sauce.