With the exception of Tilapia, I buy only whole fish, preferably still frozen, but I'll take them off the ice from a market with very high turnover (like the local Philippine markets).
With whole fish, you can know what it is (refer to my fish pages if in doubt), and it will have passed through far fewer hands than fish processed in any way.
If you buy fillets, you have absolutely no idea what you're getting, and the more expensive the fish, the less likely you're getting what you are paying for.
Even with whole fish, you have to be very knowledgeable if it's an upscale fish. Except in my local Philippine market, I have never seen anything labeled "Red Snapper" that was actually a Red Snapper.
Even in markets that try hard, they are often at the mercy of the wholesaler. My local Philippine markets often have fish that are severely mislabeled, because that's what the wholesaler said they were.
Of course, if what you bought is Escolar, you will know some hours later, because you'll get totally uncontrollable (you can't even feel them) bright orange oily shits. Yes, this has happened to many people.
I bought Escolar (properly labeled from an Asian fish market) for testing. I can assure you the limit reputable restaurants place on customers (who tend to overeat, because Escolar is absolutely delicious) are too high.
One of the steaks in the batch I bought was actually orange! I put it out for the raccoons - payback, guys!