Craig, The market SynDen mentioned is West of I-25 on Alameda & Zuni. They have a huge assortment of frozen/fresh and live seafoods available. I go there to get my rice and such. They do have good prices
Check out their stuff and if you like what they have there, whenever you need food I would be more than happy to pick it up for you. I worked right by there and could keep my cooler in my truck.