Being mammals ourselves, it can be difficult to understand that fishes share many of our characteristics. However, science has demonstrated that fish feel pain, have emotional lives, recognize individual humans, and have memories. In many areas, their intelligence actually exceeds that of "higher" vertebrates. You can learn more about them here. For more in-depth information, Jonathan Balcombe's book, What a Fish Knows: The Inner Lives of Our Underwater Cousins will change forever how you think about fishes.
There are many problems associated with eating these fishes. For instance, they suffer immensely when they are used for food. Here are some additional resources that explain why fish should not be on the menu.