In a small saucepan, combine the first five ingredients; bring to a boil over medium heat, stirring frequently. Remove from the heat; cool. Set aside 1/2 cup for basting. Place remaining sauce in a large resealable plastic bag; add shrimp. Seal bag; refrigerate for 30 minutes.
Drain and discard marinade. Thread the shrimp, yellow bell peppers, pineapple chunks and mushrooms alternately on six metal or soaked wooden skewers. Grill, uncovered, over medium-hot heat for 2 minutes on each side. Turn and brush with reserved sauce. Continue grilling for 4-8 minutes or until shrimp turn pink, turning and basting several times.