There aren't any Asian markets near me so I have to resort to local grocery stores
Have you ever been to dorothy lane market? They have a pretty killer seafood selection.
There's also a place in Kettering called foremost seafood, I've not been there, but I've heard good things.
Not all whole seafood, but Trader Joe's Seafood Blend has whole shrimp, whole bay scallops, and calamari rings (aka cut up squid) for $7.99 for a pound. It's individually frozen. A few pieces might be frozen together, but for the majority it's easy to grab one piece out at a time. Been using it for over a year now, with some other treats thrown in, and every one is fat, healthy, and colorful (I do soak it in vitamins first as well FWIW.)