Hudson Fish (at Berkeley Farmer's Market on Sat) has shrimp from Santa Barbara waters for $11.95/lb. They have a decent flavor but on the small side. My favorite right now are the Georgia shrimp at Monterey Fish but they're $15.95/lb. Large and supremely delicious plain but you have to be willing to um, shell out. For parties I get the large bag of farmed shrimp at Costco, $9.95/lb but you need to jazz them up with shrimp boil and a dipping sauce. When I want shrimp heads for stock, I buy whole shrimp at the Asian markets for $4.99/lb. Although Whole Foods is a supermarket, it has really nice cooked salad shrimp from the Oregon wilds for $5.99/lb or so with great flavor.
Chinese and Vietnamese markets and restaurants sometimes have live ones in tanks. Getting local shrimp is tough: