In food processor, combine the onion, garlic, lemongrass and ginger and process to a paste. In large skillet, heat the oil. Add paste and cook over low heat, stirring occasionally, until browned, approximately 20 minutes.
Add coriander, honey, fennel seeds, cumin, turmeric, and salt to the skillet and cook over high heat, stirring until fragrant, about a minute. Scrape into a bowl and let cook completely.
In a large, shallow dish, coat the shrimp with the spice paste. Cover and refrigerate for at least 3 hours.
Soak 30 small bamboo skewers or 10 large in water for 30 minutes. Light the grill. Thread the shrimp onto the skewer, stretching them out. If skewers are long, put 3 shrimp on each.
Grill on high for 1 1/2 minutes per side, until nicely charred. Serve immediately with sauce.
For sauce: In food processor, combine onion, garlic, and lemongrass, and process to a paste.
In a large skillet, heat the vegetable oil. Add the onion paste and cook over medium-low heat, stirring occasionally until brown, about 8 minutes. Add the coriander and cook until fragrant, about 2 minutes. Add Thai chili sauce and cook, stirring, for another 2 minutes. Add coconut milk and boil over high heat until thickened, about 2 minutes. Stir in tamarind concentrate, sugar, and peanut butter until smooth. Remove from heat and season with salt. Let cool: transfer to a bowl. Can be refrigerated for up to two days.