I've always had a good experience at Phoneicia. I agree with pretty much everything else, though. Alot of the places Backer listed (Capt. Al's, Blow Fly, McElroy's, etc.) are great places for lunch during the week, but I wouldn't send my friends there if they came down for the weekend. I'd send them to Mahoney's or Half Shell in Biloxi.
I also love Desporte's poboy, butmy favoriteshrimp poboy isBB's in Ocean Springs (the one with provolone and bacon included).
Edited to add:I was scanning back through the thread and saw someone else had mentioned Bozo's. Great call, I can't believe I wiffed on it considering we ate there last weekend. The poboys are great and so are the boiled crawfish when they're in season (been getting them there for 15years). If you've never eaten them, stand in the seafood line and get 3# of shrimp and ask Catfish (the little guy with the baseball hat on backwards) to steam them for you. You have to buy 3# to get them steamed, but man are they good.