There is a tradition in southern cooking for boiling Crayfish (crawdads). Boil them in seasoned water, then tear them in half, suck out the head, and eat the tail. So this is possible for shrimp as well. I have done it and seen it done at some seafood restaurants. I don't know that the heads are ever eaten, but they do contribute to the flavor.
I have also seen people from SE Asia (Vietnam, Laos, etc.) that would eat whole shrimp, shells and all. So it is culture dependent. This is true of many foods. While we balk at shrimp heads in America, we love our cinnamon and cumin (sweets and tacos). A lot of asian people I've met, specifically Japanese, find these flavors too strong or 'dirty' tasting. Culture has a lot to do with what foods you find enjoyable, mostly through comfort and familiarity.
Here is an article on taste preferences. It points out the familiarity angle, which is pretty interesting. The more foods you're exposed to before two, the more foods you'll like. After that, you tend to dislike anything new until you 'train' yourself to like it. Except Lima Beans because they are always icky.
The Psychology of hating food and how we learn to love it
While there is a lot of flavor in the head and shell of shrimp, the texture is probably an aquired taste. I also get a bit grossed out when the vein (digestive tract) is still in the shrimp. Depending on how it's processed, this may or may not be an issue. Whether it bothers you or not, you can always process whole shrimp yourself and save the heads and shells. Boil it in a stock pot with some arromatics, and you have a quick, flavorful seafood stock in about 20-30 minutes. Add some seared scallops, clams, chunks of fish, etc.