As far as fish goes, if you see Yellowfin Tuna steaks, or Cobia Steaks, they are well worth trying. I like using Italian Dressing and Old Bay seasoning for a marinade, then grill the steaks to your desired taste. Many people like Tuna to be pink on the inside, but I'd recommend cooking the Cobia a little longer until it is white all the way through. To top off your fresh local, you can also try Swordfish, but I prefer that cooked well too.
Don't mess with Salmon because that isn't local, but trucked in from the Pacific Northwest, or other far away places.