They definitely can, and it can vary... some parasites you won't see, or won't harm you. Some are huge (and still won't harm you if cooked). I will tell you when I volunteered as a grad student at the "Alamaba deep sea fishing rodeo" that the parasitologists would run after the red or black drum (and many other "bottom" feeders). You could find some huge worms in there, intestinally and in the muscles. Yowzers.
But this is a risk with fish in general, not just fish bought at markets. The fish at the local restaurant are in the same situation, basically.
