I recently joined a Community Supported Fishery (CSF) that offers whole fish-- either entirely whole, guts and scales included, for flatfish like flounders, or with gills and guts removed, for fish like haddock or hake. I roast them whole because it's much easier than filleting them, and much tastier. What I do is scale them and rinse them off, then pat them dry. I place them on some parchment paper on a pan and roast them (temp and time depending on type of fish, but usually about 425 F for 15 minutes). The Hake I stuffed with lemon slices, but usually just a coating of salt does it for me, because the fish are so tasty by themselves. I recommend getting a fish with big eyes, because the eyes are tasty.

As for what to get, I would say to go to your local fish market and see what looks good. Or even better, join a CSF if you can. I also recommend checking out the Monterey Bay Aquarium Seafood Watch List for the list of good choices.

Below is a picture of some whole haddock that I grilled. (I later learned that roasting whole fish in the oven with parchment paper is much easier.) I couldn't wait to eat some, so I had a bit before I remembered to take a picture.

Use the following link to help you decide:

http://www.montereybayaquarium.org/cr/cr_seafoodwatch/sfw_health.aspx

These are the "best" choices for the environment AND they have good amounts of omega-3s:

Albacore Tuna (troll- or pole-caught, from the U.S. or British Columbia)

Freshwater Coho Salmon (farmed in tank systems, from the U.S.)

Pacific Sardines (wild-caught)

Rainbow Trout (farmed)

I LOVE freakin' salmon all the time so I'm not the best person to ask...because I'd just go with salmon. No other suggestions. Mmmmmm. But salmon or trout is probably the easiest to find fresh. I've always wanted to try purchasing fresh sardines though.

I'll suggest something a little different. Aquaponically raised carp. Sure, it gets a bad rap, but if you've never had it, you might be surprised at how wonderful it tastes.

Aquaponics, of course, is an extremely efficient way to grow fish AND veggies. If you haven't heard of it, I highly recommend looking into it.

http://en.wikipedia.org/wiki/Aquaponics

If you happen to be located in NorCal, I could send you info on local providers.

At this point in the year, sockeye salmon is out of season (which would normally be my recommendation, as it is universally loved). Bass, codfish, haddock, and halibut are always in season! But for a whole fish, I would personally would do a fresh-water trout if I were you, I think it is one of the better fish to do whole. Wrap it in parchment with lemon slices, fresh dill, a couple thin slices of jalapeno, a splash of white wine, and you can do it in the oven or on a cedar plank on the BBQ. It will basically steam in the parchment, so it will cook very gently. Don't overcook it, and serve it with some asparagus, prosciutto, and fennel for the sides. Delicious! You could alternatively dredge it and fry it in hot bacon fat for a crispy skinned treat. A bit messier, but pretty darn good.

If you really want to get into whole-fish and local-fish, I would recommend looking into a CSF. If you live in BC and want to get in on a CSF, this is my boyfriend's family business: http://www.michellerosecsf.com/p/about-michelle-rose-community-supported.html It's trap fished prawns and shrimp, line fished salmon (both sustainable methods), and some octopus if that's your thing. There are lots of other ones all around provinces and states, so check them out if you are close to a body of water! Lot's of great businesses all over the place that will give you great recommendations for seafood and give you advice on cooking, handling, preparing, storing etc. You can also just get to know your local sea food shop intimately, and take their advice! Less of a financial commitment to just go check out the local places and get some good advice.

It varies what is sustainable by location. Some fish are very high depand, not sustainable. Here most sustainable are small fish and any fish that tend to overpopulate waters. Here they are common bream and roach. Bream lends well to cooking in oven since it has ton of scales and time consuming to filet.

I eat herrings due to low price, sustainable, and very high nutrition (you can get your 4000iu vitamin d eating them, not to mention like 2 grams of real fresh EPA. Its about the most paleo food i have available here. And did i say cheap :)