I wish I were lucky enough to live near the coast. The "fresh" seafood department at the supermarket contains fish that comes in frozen, then they thaw it and put it out. So that's why I buy it frozen, then I can thaw when I'm ready to eat it.
However, a fish market recently opened in the area that is owned by a local sushi restaurant, and they fly to the coast 3 times a week for fresh seafood. They carry wild shrimp (instead of pellet fed farmed shrimp that we all usually eat) and I'm dying to try it. It's expensive, but I bet it will be worth it. We looked around last week and made note of the types of fish they carried. They had an interesting fish called escolar that looked very thick and dense, perfect for grilling. However, a quick search online and we learned that escolar is nicknamed the ex-lax fish, lol, so we don't want to try that