That whole 'mercury and fish' thing is totally overblown. You just need to stay away from large fish like tuna and shark because as the size of the fish gets larger, the amount of mercury builds up in their bodies. If you stick to things like salmon, cod, sole, pollock, pickerel, snapper - you will be fine.
I think wild caught fish is AWESOME to include in your diet.
Most restaurants use farm raised fish because it is much cheaper then wild caught.
I wouldn't feed farm raised fish to my worst enemy. They are raised in over populated and very polluted fish ponds and fed GMO soy and corn. This leads to a fish that is full of toxins and with a very poor fatty acid profile. Farm raised fish has very little omega 3 content.
Wild caught fish will be caught in the ocean. The fish will have eaten what fish SHOULD be eating - little fish, algae, plankton etc.
Both frozen and fresh fish are fine, just always look for wild caught. If buying frozen, read the ingredient list because some frozen varieties will have a lot of preservatives added.