Heat the oil in a large oven-proof pan over medium-sized heat. Add the onion and continue until the onion is soft. This takes 3 to 5 minutes.
Add the garlic Cubetti and turn the heat down. Let simmer for 5-10 minutes or until the juices slightly thicken.
Remove the pan from the heat. Stir in the herbs, scampi and feta and season with pepper and salt to taste. Put the pan in the oven and bake, without lid, until the scampi are done. This takes about 10 to 12 minutes.
Serve immediately. Add French or Italian bread, pasta or rice.