Av. Luísa Todi is Setúbal's edible spine. West of the market, a continuous line of tascas and family restaurants specialise in charcoal-grilled fish — sardines, sea bream, horse mackerel, sea bass, white bream. In summer the outdoor tables are all Luísa Todi.
Some references: Azimute (popular, reliable queue), A Favorita (neighbourhood classic), 2 Irmãos (fish on the skewer), O Poeta (seafood). Most don't take bookings; best move is to show up at 12:30 or 19:30.
Practical note: many of the best only serve lunch. Dinner is quieter but the menu narrows. Always ask for the fish of the day and follow the waiter's call — that's how the meal gets good.