I actually thought the Mexican place at the end was reasonably good and reasonably priced. I was actually shocked it wasn't more expensive. Not the best Mexican but actually pretty good.
Hot Dog on a Stick #1 is located off the beginning of the pier, on the same level as the aquarium. Not gourmet, but they dip the dogs fresh as they are ordered.
I would suggest that you head over to 3rd Street Promenade which is not far from Santa Monica Pier (three blocks). You'll have more and better restaurants to choose from not to mention they are other stores and entertainment to check out.