I get all of my fish, and food for my fish, down at the fish markets on Grand street in the city. The prices are very cheap and they have also everything you could possibly image.
If you're looking for a large quantity or if several people are interested go directly to the new Fulton Fish Market in the Bronx. They open at midnight Sunday through Thursday I believe and its several bucks to get in. I go every now and again and the prices are real good.
I just go to a portugese restaurant here by me when ever I get the urge a full plate of king crab legs with all the trimmings is about 40 bucks a plate