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Buying captive raised is always the better option. Both for responsibility reasons and the quality of the livestock. Generally captive raised animals will readily accept prepared food and are more easily acclimated. The list is small, but fortunately more and more fish and inverts are being bred in aquaria. My favorite source of livestock is through the local reef club. Some of it may have originally been wild caught (although we have a few very successful breeders as well), but at least my purchase doesn't contribute to another being taken. ORA and a few other emerging vendors are working hard to expand their selections and take advantage of a more enlightened group of hobbyists.