Eating fish is a perfectly valid alternative; the fish oil capsules are simply a more concentrated form (and save you from having to down herring every day if that's not your thing). Of course it's more expensive; it's always more expensive to get your nutrients from refined supplements rather than food.
If you can stomach it, the straight oil is somewhat cheaper than the capsules, though less portable. I prefer to get my EFAs from food myself -- salmon, trout, herring, walnuts, flax seeds, hemp -- and I personally like Udo's blend better than fish oil, though the balance of it isn't quite the same (and possibly, depending on who you believe, not as good). Udo's is, however, tasty as a salad dressing, and fish oil straight up makes my entire being revolt. I didn't notice any particular bonuses in Zesty Good Health or fat loss through the month or so that I gagged down daily fish oil with great dedication, so I'm personally happy with that.