Check the Asian markets - both the Ranch 99 on 44th and LeeLee's at Warner/Dobson in Chandler. I can't remember...someone will, though...if the Hispanic Ranch markets carry any fresh fish..I know the one in town has a nice selection, but no doubt frozen... (and you know, anything is going to be iced and iced well and thoroughly - how many miles are we from the ocean?)
A fairly new place that gets good reviews for purchasing fresh seafood from Alaska is:
Alaska Family Salmon
3154 East Camelback Road
Phoenix, AZ 85016
It is on the northwest corner of 32nd Street and Camelback, in the Safeway strip mall. It is a few doors down to the right of Safeway, next to Delux.
The place always seems to have customers and they have salmon, scallops, crab legs, etc.
Probably not the answer you're looking for, but, some restaurants sell it. The last time I was at Fish Market, I noticed swordfish was going for $20/lb.
1720 E Camelback Rd
Foster's Seafood Grille
10510 N 90th St