It does and it doesn't. It's kind of like radiation. It's bad for you, but unless you're getting a lot of it you're never going to care. Naturally, you don't want to eat fish that came from a river downstream of a Gold mine, but supposedly you should be allright if you only eat fatty fish once or twice a week. Unless you're pregnant or a young child; in which case you should avoid fish that are known to have mercury in them. (No tuna, no Swordfish. I say the heck with that and eat my swordfish.)
Really though, shrimp's better.
Then there's fried squid. It's like a little edible seamonster! 8)