While you'll probably get a really good deal at a fish market, don't expect the fish to be too cheap, especially if it's the kind caught from the wild. You may have better luck, however, with marine life that's farmed, like tilapia or crayfish.
Believe it or not, some fish markets (such as Pike Place Fish Market in Seattle) will actually ship you fish overnight by Federal Express or UPS. Needless to say, this involves having it packed it with dry ice, paying the stiff overnight fee, and hoping the delivery guy doesn't run late.