Cameron's sells whole lobsters, which they will steam for you. There is one located on 16th St. just north of the DC line. My parents have gotten them from the Cameron's in Rockville and been happy with the quality. I do not suggest Giant because the quality has never been good in my experience.
If you ever want a seriously fresh lobster and want to cook them yourselves, try the guys at Salt River Lobster, who bring fresh lobsters down from Maine each week and sell them from their truck in Bethesda on Friday and Kensington on Saturday. If I'm springing for a lobster, this is the way I go because you get the best quality for the money.