I always buy wild fish over tank raised when I can. Wild caught fish are healthier, hardier and more colourful. Now, having said this, I am thinking here of soft water fish like characins and such. Tazman's experience with rift lake cichlids is a very different kettle of fish.
Sadly, the commercial guppy now available are very weakened, and some biologists are actually suggesting they never be purchased. This is actually applicable to most livebearers. The fish in stores are so far removed from the wild form as to be scarcely the same species.
This is also turning up in some of the long-bred characins, like the neon, glowlight, etc. Wild fish when they can be acquired are much more resilient and colourful.
As for removing the fish from the habitat, this is a valid concern. But there are some excellent programs now working in South America for instance, like Project Piaba, that are responsible from the point of maintaining the wild fish species through restricted collecting, and providing good economic employment for the local people who would otherwise have to resort to clearing the land for farming and thus destroying the environment and the fish species entirely. I read one article noting that acquiring wild caught cardinal tetra is actually preserving the habitat and thus the species.