Lei Yue Mun ("Carp Gate") Seafood Market is a well-known place for seafood. There are endless selections of seafood, as well as restaurants along the narrow street. You can pick the seafood by yourself, and bring it to a nearby restaurant for them to cook for you. It's best to have more people go with you, the more the merrier — and more selections of food you can try. They are open only for dinner although you can still walk around the market earlier in the day.
*If you took the subway to Rainbow station, the walk is about 10-15 minutes. Many people take a taxi from the subway station, which will take less than 5 minutes.