When I can, yes. I live in coastal Maine, so there's local seafood available all the time. But I have a serious shellfish allergy, so I can only buy if it's safe, which means not in contact with shellfish. We have one local market that does a really good job keeping the finned fish and shellfish separated. Everywhere else has it all in one display, touching or close enough in proximity that a shrimp could be dropped on a piece of finned fish, so that's not safe for me. If I can get it quickly at the one safer fish market (meaning not waiting for more than a few minutes if they're cooking shellfish there), I will, if not, I buy the one frozen salmon product I can guarantee is safe and can find here (Kosher fish is safe, but there's not a lot of Kosher fish available around here.)
We have tons of lobster pounds and everyone has a guy they buy from right off the boat, so it's not hard to get local seafood for the non-allergic crowd. Tons of restaurants serving fresh catch, too. If I could do more, I would. Maybe I need to find a right off the boat guy for finned fish... I only know lobstermen.