Best place to shop for food in Sydney, and arguably one of the top fish markets in the world. It makes up for Sydney's lack of a serious, accessible agricultural produce market. It's a huge complex of large seafood wholesalers and retailers, with restaurants, delis, sashimi bars, a great oyster bar and so forth. My recommendations would be Claudios, just ouside the main building, on the edge of the water, for most seafood and sashimi, although the other stores are still very good and price and quality can oscillate from day to day. For lunch the barbequed baby octopus from the back of Peter's is legendary.
The fish available is basically whatever is being caught off Australian coasts at that time of year. Some excellent crustaceans, most notably prawns the size of... well, very large prawns. Most fish is local, but there are shellfish, particularly oysters and abalone, as well as farmed salmon from Tasmania, baramundi from northern Queensland and excellent snapper from Western Australia. Particularly if you're running on Euros, Pounds, or US dollars, it's amazingly cheap. The retail segment is the dominant and most accessible section, and all this particular author has ever been to, but there are auctions to restaurants of the SERIOUS fish. You can often see these lying around on ice in the main section beforehand, usually tuna bigger than a small boat.
The markets are on the edge of Blackwattle Bay, Pyrmont, about fifteen minutes walk from the CBD. Although most the outside is vast carparks, loading docks, a bay covered in parked fishing trawlers and a smell of a real fish market, there's a nice grassed area with some date palms outside the main building that's the place to sit, eat, and admire the pelicans.
You can drive there quite easily, there's plenty of parking for a few dollars just outside the markets. It's easiest to get to by the Anzac bridge and its approaches, from either direction there are readily market exits. Alternatively you can take light rail from the city, or walk across the footbridge from the city across Darling Harbour. However you get there, it's a great spot for lunch if you're visiting Sydney.