I like catfish, if you soak them in milk first. Salmon also have turned out to be pretty good. Walmart has these little frozen salmon steaks that are $1 each and are plenty for one person. In our store, they are next to the frozen shrimp in a little black packet.
My absolute favorite is tuna steak, but it is pretty costly. I sometimes pick up the tuna steaks that are vacuum packed over in the department with the canned tuna. They aren't bad, but aren't nearly as good as the real thing.
We've tried Cod and IMO, it was TOO bland.
Mostly, I think it's in the seasoning. I have a couple of things I've bought like a Mesquite seasoning, some type of cajun rub, a citrus mesquite, and lemon pepper. I just spray with I Can't Believe It's Not Butter, then sprinkle with the seasoning and grill.
I also like to mix up a batter of whole wheat flour, spices, and a little corn meal. I dip the fish in egg white, then the flour mix and bake in the oven. So good I don't miss the greasy fried stuff!