The research has generally shown that cooking fish results in very little or no significant reduction in the percentages of omega-3 fatty acids as DHA and EPA when following “normal cooking procedure”.
A recent study (Jan 2007) looked at the effects of different cooking processes of grilling, baking, frying and microwaving on fatty acid composition of cultured sea bass.They found that the fatty acid composition of the fillets was not significantly changed by grilling, baking and microwave cooking. The sea bass did lose a small amount of polyunsaturated fatty acids (omega 3) when fried (amount unknown). An other source indicated that high cooking temperatures can destroy almost half the Omega-3 in fish.
However, it has been pointed out that the amount of DHA and EPA per 100 grams of fish typically goes up after cooking since the cooking process eliminates some of the water associated with the raw fish.
Bottom line: Baking and grilling are healthier cooking methods and won't destroy most of the essential omega 3 fatty acids found in your fish- use these cooking methods more frequently than frying.
YASEMEN YANAR, AYGÜL KÜÇÜKGÜLMEZ, BEYZA ERSOY, MEHMET ÇELIK (2007) COOKING EFFECTS ON FATTY ACID COMPOSITION OF CULTURED SEA BASS (DICENTRARCHUS LABRAX) FILLETS Journal of Muscle Foods 18 (1) , 88–94