I would personally recommend sea pearl lagoon cafe for crabs (fresh and affordable), place is a bit tedious to find but do ask along as you go by, those seafood eateries at gurney are at tourist-price (cut throat), no, i am not saying they are bad or so, just that we can find something cheaper but above par or at least, on par with the quality.

I've found a review here:
http://www.kenhuntfood.com/2012/03/sea-pea...ung-tokong.html

You can get some nice ones at the following places:

1) the cafe right beside 888 hokkien mee at Lebuh Presgrave
2) the hawker center right opposite to Penang Chinese Girl School
3) the corner cafe at Reservoir Garden, Air Itam, check out their fried tofu too

Hope this helps

Sri Ananda Bahwan