Hey now. The local grocery store can be good. What is important is that they follow Monteray Bay Aquarium's Seafood Watch Program. Seafood Watch was created to help you choose seafood that's good for you, and good for the oceans. At the consumer level they do this with color codes. Items with green tags have sustainable resources, non-desctructive catching methods, and limited to no by-catch.
Salmon is a great example of this.
Green Tag: Sockeye, Coho, Chinook Salmon from Alaska only Alaskan commercial salmon fishing is considered a sustainable resource. Fish can be netted if if they're using "tooth nets" which do not trap fish at the gills. Long lining is the prefered method.
Yellow Tag: Sockeye, Coho, Chinook, Keta from Oregon and Washington. These fisheries are not considered sustainable. Catch methods are the same as Alaska.
Red Tag: Farmed fish. Bad.
Freshwater fish are often Green tag items because freshwater farming is normally done in private ponds, not pumped with antibiotics, have their own filtration systems to keep potentially toxic water out of the environment. They're completely contained.
I know New Season's market is one place that you can see this in action.
PS: did you know they also farm sturgeon?