Heat grill to medium-high. Once it is hot, clean the grill grate with a wire brush. Just before grilling, oil the grill grate.
Soak 8 skewers in water for at least 15 minutes.
Toss the shrimp, tomatoes, and baguette with the oil, lemon juice, ½ teaspoon salt, and ¼ teaspoon pepper in a medium bowl. Thread onto the skewers and grill, turning occasionally, until the shrimp are opaque throughout, 6 to 8 minutes. Sprinkle with the Feta and parsley.